English

Conditionally Identifiable Latent Representation for Multivariate Time Series with Structural Dynamics

Machine Learning 2026-03-25 v1 General Finance Statistical Finance

Abstract

We propose the Identifiable Variational Dynamic Factor Model (iVDFM), which learns latent factors from multivariate time series with identifiability guarantees. By applying iVAE-style conditioning to the innovation process driving the dynamics rather than to the latent states, we show that factors are identifiable up to permutation and component-wise affine (or monotone invertible) transformations. Linear diagonal dynamics preserve this identifiability and admit scalable computation via companion-matrix and Krylov methods. We demonstrate improved factor recovery on synthetic data, stable intervention accuracy on synthetic SCMs, and competitive probabilistic forecasting on real-world benchmarks.

Keywords

Cite

@article{arxiv.2603.22886,
  title  = {Conditionally Identifiable Latent Representation for Multivariate Time Series with Structural Dynamics},
  author = {Minkey Chang and Jae-Young Kim},
  journal= {arXiv preprint arXiv:2603.22886},
  year   = {2026}
}

Comments

Accepted paper for 2026 ICLR FINAI workshop

R2 v1 2026-07-01T11:34:56.601Z