Using Lowly Correlated Time Series to Recover Missing Values in Time Series: A Comparison Between SVD and CD

  • Mourad KhayatiEmail author
  • Michael H. Böhlen
  • Philippe Cudré Mauroux
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 9239)


The Singular Value Decomposition (SVD) is a matrix decomposition technique that has been successfully applied for the recovery of blocks of missing values in time series. In order to perform an accurate block recovery, SVD requires the use of highly correlated time series. However, using lowly correlated time series that exhibit shape and/or trend similarities could increase the recovery accuracy. Thus, the latter time series could also be exploited by including them in the recovery process.

In this paper, we compare the accuracy of the Centroid Decomposition (CD) against SVD for the recovery of blocks of missing values using highly and lowly correlated time series. We show that the CD technique better exploits the trend and shape similarity to lowly correlated time series and yields a better recovery accuracy. We run experiments on real world hydrological and synthetic time series to validate our results.


Time Series Mean Square Error Singular Value Decomposition Input Matrix Stochastic Gradient Descent 
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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Mourad Khayati
    • 1
    • 2
    Email author
  • Michael H. Böhlen
    • 1
  • Philippe Cudré Mauroux
    • 2
  1. 1.Department of Computer ScienceUniversity of ZurichZurichSwitzerland
  2. 2.EXascale InfolabUniversity of FribourgFribourgSwitzerland

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