How do you handle missing data in time series?

Handling missing data in time series requires methods that account for temporal dependencies while preserving the dataset’s structure. Common approaches include deletion, interpolation, forward/backward filling, and model-based imputation. Deletion removes rows with missing values but risks losing valuable information, especially if gaps are small and random. Interpolation estimates missing points using neighboring values, with techniques like linear, spline, or time-aware methods. Forward fill (using the last valid observation) or backward fill (using the next valid observation) are simple but assume data stability. Model-based methods, such as ARIMA or machine learning models, predict missing values by leveraging patterns in the data. The choice depends on the data’s nature, the missingness mechanism, and the analysis goal.

For example, using Python’s pandas library, developers can apply ffill() or bfill() to propagate values forward or backward. Linear interpolation via interpolate(method='time') adjusts for irregular time intervals. For seasonal data, decomposing the series into trend, seasonality, and residuals—using libraries like statsmodels—allows imputing missing components separately before reconstructing the series. In more complex cases, autoregressive models (e.g., ARIMA) or machine learning models (e.g., LSTM networks) can predict missing values by training on historical patterns. For instance, a weather dataset missing temperature readings might use ARIMA to forecast gaps based on daily cycles and trends. Multivariate time series could employ K-Nearest Neighbors (KNN) imputation, where missing values are inferred from similar temporal patterns in related variables.

Best practices involve diagnosing why data is missing (e.g., random vs. systematic gaps) and evaluating the impact of imputation. Tools like missingno in Python help visualize missingness patterns. For critical applications, cross-validation can test how imputation affects model performance. If data is missing at random, simpler methods may suffice, but systematic gaps (e.g., sensor failures) might require domain-specific fixes. Always document the chosen method and validate results against a subset of known values. For example, artificially creating gaps in complete data can test if imputation accurately restores the original values. Balancing computational cost and accuracy is key—complex models may offer precision but slow down pipelines, while simpler methods trade off detail for speed.