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.
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