Effect of filling methods on the forecasting of time series with missing values

Abstract

The Gulf of Alaska Mooring (GAK1) monitoring data set is an irregular time series of temperature and salinity at various depths in the Gulf of Alaska. One approach to analyzing data from an irregular time series is to regularize the series by imputing or filling in missing values. In this project we investigated and compared four methods (denoted as APPROX, SPLINE, LOCF and OMIT) of doing this. Simulation was used to evaluate the performance of each filling method on parameter estimation and forecasting precision for an Autoregressive Integrated Moving Average (ARIMA) model. Simulations showed differences among the four methods in terms of forecast precision and parameter estimate bias. These differences depended on the true values of model parameters as well as on the percentage of data missing. Among the four methods used in this project, the method OMIT performed the best and SPLINE performed the worst. We also illustrate the application of the four methods to forecasting the Gulf of Alaska Mooring (GAK1) monitoring time series, and discuss the results in this project.