S4M: S4 for multivariate time series forecasting with Missing values

Multivariate time series data play a pivotal role in a wide range of real-world applications, such as finance, healthcare, and meteorology, where accurate forecasting is critical for informed decision-making and proactive interventions. However, the presence of block missing data introduces significant challenges, often compromising the performance of predictive models. Traditional two-step approaches, which first impute missing values and then perform forecasting, are prone to error accumulation, particularly in complex multivariate settings characterized by high missing ratios and intricate dependency structures. In this work, we introduce S4M, an end-to-end time series forecasting framework that seamlessly integrates missing data handling into the Structured State Space Sequence (S4) model architecture. Unlike conventional methods that treat imputation as a separate preprocessing step, S4M leverages the latent space of S4 models to directly recognize and represent missing data patterns, thereby more effectively capturing the underlying temporal and multivariate dependencies. Our framework comprises two key components: the Adaptive Temporal Prototype Mapper (ATPM) and the Missing-Aware Dual Stream S4 (MDS-S4). The ATPM employs a prototype bank to derive robust and informative representations from historical data patterns, while the MDS-S4 processes these representations alongside missingness masks as dual input streams to enable accurate forecasting. Through extensive empirical evaluations on diverse real-world datasets, we demonstrate that S4M consistently achieves state-of-the-art performance. These results underscore the efficacy of our integrated approach in handling missing data, showcasing its robustness and superiority over traditional imputation-based methods. Our findings highlight the potential of S4M to advance reliable time series forecasting in practical applications, offering a promising direction for future research and deployment. Code is available at https://github.com/WINTERWEEL/S4M.git.