First, the system obtains time-series sensor data. Next, the system identifies missing values in the time-series sensor data, and fills in the missing values through interpolation. The system then divides the time-series sensor data into a training set and an estimation set. Next, the system trains an inferential model on the training set, and uses the inferential model to replace interpolated values in the estimation set with inferential estimates. If there exist interpolated values in the training set, the system switches the training and estimation sets. The system trains a new inferential model on the new training set, and uses the new inferential model to replace interpolated values in the new estimation set with inferential estimates. The system then switches back the training and estimation sets. Finally, the system combines the training and estimation sets to produce preprocessed time-series sensor data, wherein missing values are filled in with imputed values.