arXiv:2512.10191cs.LG2025-12

提出新方法精准恢复有规律缺失的多维时间序列数据。

Exact Recovery of Non-Random Missing Multidimensional Time Series via Temporal Isometric Delay-Embedding Transform

  • 用时序保距延迟嵌入构造低秩汉克尔张量,源于信号平滑与周期性。
  • 在特定采样条件下可实现精确恢复,实验验证多种缺失模式有效。
  • 适用于交通流量、温度场等真实场景,优于现有张量方法。

非随机缺失是多维时间序列中普遍存在但未被充分重视的问题,严重威胁数据驱动分析与决策的可靠性。传统低秩张量补全方法在处理非随机缺失时存在理论与方法双重不足。基于汉克尔结构的张量补全虽可行,但缺乏对低秩性的清晰来源及非随机缺失下的精确恢复理论。为此,本文提出时序保距延迟嵌入变换,构建的汉克尔张量其低秩性由底层时间序列的平滑性与周期性自然诱导。在此基础上,提出低秩张量补全-时序保距延迟嵌入变换(LRTC-TIDT)模型,基于张量奇异值分解(t-SVD)框架刻画低秩结构。当满足预设的非随机采样条件与温和的非相干假设时,该模型可实现精确恢复,仿真实验在多种非随机缺失模式下得到验证。此外,LRTC-TIDT在多个真实任务中持续优于现有张量方法,包括网络流量重建、城市交通估计与温度场预测。代码已公开于 https://github.com/HaoShu2000/LRTC-TIDT。

原文摘要 · Abstract (English)

Non-random missing data is a ubiquitous yet undertreated flaw in multidimensional time series, fundamentally threatening the reliability of data-driven analysis and decision-making. Pure low-rank tensor completion, as a classical data recovery method, falls short in handling non-random missingness, both methodologically and theoretically. Hankel-structured tensor completion models provide a feasible approach for recovering multidimensional time series with non-random missing patterns. However, most Hankel-based multidimensional data recovery methods both suffer from unclear sources of Hankel tensor low-rankness and lack an exact recovery theory for non-random missing data. To address these issues, we propose the temporal isometric delay-embedding transform, which constructs a Hankel tensor whose low-rankness is naturally induced by the smoothness and periodicity of the underlying time series. Leveraging this property, we develop the \textit{Low-Rank Tensor Completion with Temporal Isometric Delay-embedding Transform} (LRTC-TIDT) model, which characterizes the low-rank structure under the \textit{Tensor Singular Value Decomposition} (t-SVD) framework. Once the prescribed non-random sampling conditions and mild incoherence assumptions are satisfied, the proposed LRTC-TIDT model achieves exact recovery, as confirmed by simulation experiments under various non-random missing patterns. Furthermore, LRTC-TIDT consistently outperforms existing tensor-based methods across multiple real-world tasks, including network flow reconstruction, urban traffic estimation, and temperature field prediction. Our implementation is publicly available at https://github.com/HaoShu2000/LRTC-TIDT.

时间序列张量补全数据恢复多维信号

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