Using Prophet for Time Series gap imputation
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- Python
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Description
Consider a regular hourly time series with a relatively long sequence of consecutive missing values or a gap.
I'm considering using Prophet for the following approach:
- Identify start and end of gap
- Apply linear interpolation
- Create a left and right window 2x the size of the gap
- Fit this series in Prophet (left window, center window or linear interpolated gap, right window)
- Predict the same period with Prophet
**Example**
Sample Dataset: ETTh1.csv
Corrupted series: 1000 hour gap
The plot of the result (original, corrupted, reconstructed)

MAE of linear interpolation: 2.79
MAE of Prophet: 2.44
**In theory does this approach make sense?**
Notebook: https://colab.research.google.com/drive/1w7y5ju0hnd0zLp6qTwmW7ukLgLozvW-b?usp=sharing
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