timefiller

timefiller is a Python package for time series imputation and forecasting. When applied to a set of correlated time series, each series is processed individually, leveraging correlations with the other series as well as its own auto-regressive patterns. The package is designed to be easy to use, even for non-experts.

Installation

You can get timefiller from PyPi:

pip install timefiller

But also from conda-forge:

conda install -c conda-forge timefiller

mamba install timefiller

Why this package?

While there are other Python packages for similar tasks, this one is lightweight with a straightforward and simple API. Currently, its speed may be a limitation for large datasets, but it can still be quite useful in many cases.

Basic Usage

The simplest usage example:

from timefiller import TimeSeriesImputer

df = load_your_dataset()
tsi = TimeSeriesImputer()
df_imputed = tsi(df)

Advanced Usage

from sklearn.linear_model import LassoCV
from timefiller import TimeSeriesImputer, PositiveOutput

df = load_your_dataset()
tsi = TimeSeriesImputer(estimator=LassoCV(), ar_lags=(1, 2, 3, 6, 24), multivariate_lags=6, preprocessing=PositiveOutput())
df_imputed = tsi(df, subset_cols=['col_1', 'col_17'], after='2024-06-14', n_nearest_features=35)

Check out the documentation for details on available options to customize your imputation.

Algorithmic Approach

timefiller relies heavily on scikit-learn for the learning process and uses optimask to create NaN-free train and predict matrices for the estimator.

For each column requiring imputation, the algorithm differentiates between rows with valid data and those with missing values. For rows with missing data, it identifies the available sets of other columns (features). For each set, OptiMask is called to train the chosen sklearn estimator on the largest possible submatrix without any NaNs. This process can become computationally expensive if the available sets of features vary greatly or occur infrequently. In such cases, multiple calls to OptiMask and repeated fitting and predicting using the estimator may be necessary.

One important point to keep in mind is that within a single column, two different rows (timestamps) may be imputed using different estimators (regressors), each trained on distinct sets of columns (covariate features) and samples (rows/timestamps).