TIME SERIES IMPUTATION USING VAR-IM (CASE STUDY: WEATHER DATA IN METEOROLOGICAL STATION OF CITEKO)

Abstract

Univariate imputation methods are defined as imputation methods that only use the information of the target variable to estimate missing values. While univariate imputation methods are convenient and flexible since no other variable is required, multivariate imputation methods can potentially improve imputation accuracy given that the other variables are relevant to the target variable. Many multivariate imputation methods have been proposed, one of which is Vector Autoregression Imputation Method (VAR-IM). This study aims to compare imputation results of VAR-IM-based methods and univariate imputation methods on time series data, specifically on long lag seasonal data such as daily weather data. Three modified VAR-IM methods were studied using simulations with three steps: deletion, imputation, and evaluation. The deletion step was conducted using six different schemes with six missing proportions. The simulations were conducted on secondary daily weather data collected from meteorological station of Citeko from January 1, 1991, to June 22, 2013. Nine weather variables were examined, that is the minimum, maximum, and average temperatures, average humidity, rainfall rate, duration of solar radiation, maximum and average wind speed, as well as wind direction at maximum speed. The simulation results show that the three modified VAR-IM methods can improve the accuracies in around 75% of cases. The simulation results also show that imputation results of VAR-IM-based methods tend to be more stable in accuracy as the missing proportion increase compared to the imputation results of univariate imputation methods.