How do I deal with missing values in a time series dataset?

Handling missing values in time series data requires methods that respect the temporal structure and dependencies inherent in the data. Unlike cross-sectional datasets, time series often have trends, seasonality, or autocorrelation, so missing values can disrupt patterns and lead to incorrect analyses. The goal is to impute gaps in a way that preserves these temporal relationships.

First, consider simple interpolation or filling techniques. For small gaps, linear interpolation (estimating values between existing points) works well if the data changes smoothly. In Python’s pandas library, df.interpolate(method='time') adjusts for irregular time intervals. For datasets with a clear direction (e.g., sensor readings), forward-fill (ffill) or backward-fill (bfill) propagates the last known value forward or the next known value backward. For example, df.ffill() replaces missing values with the most recent valid entry. However, these methods assume continuity and can introduce bias if the data has sudden shifts. If seasonality exists, decompose the series into trend, seasonal, and residual components using libraries like statsmodels, impute the seasonal part separately, then reconstruct the series.

For more complex cases, model-based approaches are effective. Algorithms like ARIMA or Prophet can predict missing values by modeling trends and seasonality. For instance, using Facebook’s Prophet, you can fit the model to the available data, then generate forecasts for the missing periods. Alternatively, treat the problem as a supervised learning task: create lagged features (e.g., previous 3 timesteps) and train a model like XGBoost or LSTM to predict missing points. Always validate imputations by artificially introducing gaps in complete sections of the data and checking how well your method reconstructs them. For example, hide a known 5-day period, apply your imputation, and measure the error against the true values.

Finally, document your approach and assess its impact. Some methods (like mean imputation) can distort statistical properties or variance, while others may oversmooth abrupt changes. If missingness is not random (e.g., sensor failure during peaks), explore domain-specific solutions, such as using redundant sensor data. When in doubt, start simple, test multiple methods, and prioritize techniques that align with the data’s underlying behavior.