Can Dynamic Time Warping be used in time series with missing values?

Question

As indicated in the title, I wonder if DTW (Dynamic Time Warping) can be used to calculate the DTW distance between two time series with missing values.

Say that two time series are daytime temperatures of two weather stations and have equal length (for example, 365 days), and the missing values ​​are on different days for two time series.

If possible, is the dtw package in R capable of handling missing values? I did not find a parameter that can be set in dtw (), like na.rm = T

Thank you so much!

Thanks to thelatemail for the suggestion. The following is a simplified example of two time series, where each time series contains only 52 elements, and the missing values ​​are NA .

 TS1 = c(-3.26433, -5.09096, NA, -8.4158, -5.85485, -3.49234, -7.64666, -4.90124, NA, -4.68836, -1.38114, 1.55527, 2.81872, 2.44261, 3.57963, 6.19983, 7.42515, 8.41524, 6.32686, 10.0144, 9.53251, 13.4781, 12.3585, 10.6706, 10.2647, 16.6848, 16.4855, 20.1482, NA, 21.5734, 20.3946, 20.8824, 18.0325, 18.5813, 17.5453, 16.3315, 14.3068, 11.3164, 9.96398, 5.53102, 9.55094, 9.05897, 6.81199, 5.20343, 1.63158, -0.661077, -4.33853, -6.53655, NA, -10.8646, 1.11843, 1.23786) TS2 = c(-5.76852, -10.2207, -11.8465, NA, -1.70019, -3.60319, -5.7718, -3.81106, -5.62284, -3.57516, 0.314511, 0.64058, 0.476162, NA, 4.23757, 5.15417, 7.29422, NA, 1.57376, 9.28236, 8.05182, 13.7175, 9.5453, 10.2417, 9.32423, 18.214, 18.3726, 16.661, 20.6563, 22.2901, 22.1109, 19.129, 15.8615, 16.7817, 17.247, 15.9921, 14.5804, 11.3693, 10.9349, 10.1196, 3.7467, 9.09229, 6.91285, NA, 4.20934, -0.566403, -2.94184, -3.81432, -10.0212, -15.9876, -2.56286, -1.88976) 

Answer 1

Probably not, I looked at the package manual and there is nothing about missing or NA values. I also tried feeding your data to dtw() , and this fails:

 Error in dtw(TS1, TS2) : No warping paths exists that is allowed by costraints 

But when I changed all NA values ​​to 0, it worked easily.

So, if your only solution is this package, you can post a message on the DTW forum, or you may have to deal with skipping data yourself. You can find some tips here or use the na() function of the fSeries package *.

* This package is no longer available . Instead, it is suggested that you use the timeSeries package .

Answer 2

I also come across this situation. The reason you get an error when using DTW with a time series containing NA values ​​is because the warp distance will be undefined if NA is present in the DTW path. I suggest you assign NA values ​​using some ARIMA model and then use DTW. Check out this or this for the implications of missing time series values.