Related papers: Efficient and Consistent Robust Time Series Analys…
We study episodic reinforcement learning under unknown adversarial corruptions in both the rewards and the transition probabilities of the underlying system. We propose new algorithms which, compared to the existing results in (Lykouris et…
We study the problem of estimating the covariance matrix of a high-dimensional distribution when a small constant fraction of the samples can be arbitrarily corrupted. Recent work gave the first polynomial time algorithms for this problem…
We give a polynomial-time algorithm for the problem of robustly estimating a mixture of $k$ arbitrary Gaussians in $\mathbb{R}^d$, for any fixed $k$, in the presence of a constant fraction of arbitrary corruptions. This resolves the main…
We consider the multivariate max-linear regression problem where the model parameters $\boldsymbol{\beta}_{1},\dotsc,\boldsymbol{\beta}_{k}\in\mathbb{R}^{p}$ need to be estimated from $n$ independent samples of the (noisy) observations $y =…
Algorithmic Recourse (AR) aims to provide users with actionable steps to overturn unfavourable decisions made by machine learning predictors. However, these actions often take time to implement (e.g., getting a degree can take years), and…
We propose an outlier robust multivariate time series model which can be used for detecting previously unseen anomalous sounds based on noisy training data. The presented approach doesn't assume the presence of labeled anomalies in the…
We introduce a comprehensive and statistical framework in a model free setting for a complete treatment of localized data corruptions due to severe noise sources, e.g., an occluder in the case of a visual recording. Within this framework,…
We develop a new efficient algorithm for the analysis of large-scale time series data. We firstly define rolling averages, derive their analytical properties, and establish their asymptotic distribution. These theoretical results are…
This paper addresses the robust estimation of linear regression models in the presence of potentially endogenous outliers. Through Monte Carlo simulations, we demonstrate that existing $L_1$-regularized estimation methods, including the…
The presence of data corruption in user-generated streaming data, such as social media, motivates a new fundamental problem that learns reliable regression coefficient when features are not accessible entirely at one time. Until now,…
In this paper, we study the problem of estimating latent variable models with arbitrarily corrupted samples in high dimensional space ({\em i.e.,} $d\gg n$) where the underlying parameter is assumed to be sparse. Specifically, we propose a…
The bootstrap procedure has emerged as a general framework to construct prediction intervals for future observations in autoregressive time series models. Such models with outlying data points are standard in real data applications,…
We study the problem of high-dimensional linear regression in a robust model where an $\epsilon$-fraction of the samples can be adversarially corrupted. We focus on the fundamental setting where the covariates of the uncorrupted samples are…
While anomaly detection in time series has been an active area of research for several years, most recent approaches employ an inadequate evaluation criterion leading to an inflated F1 score. We show that a rudimentary Random Guess method…
A time series represents a set of observations collected over time. Typically, these observations are captured with a uniform sampling frequency (e.g. daily). When data points are observed in uneven time intervals the time series is…
We propose a multiscale approach to time series autoregression, in which linear regressors for the process in question include features of its own path that live on multiple timescales. We take these multiscale features to be the recent…
The paper examines the problem of representing the dynamics of low order autoregressive (AR) models with time varying (TV) coefficients. The existing literature computes the forecasts of the series from a recursion relation. Instead, we…
Anomaly detection (AD) plays a crucial role in time series applications, primarily because time series data is employed across real-world scenarios. Detecting anomalies poses significant challenges since anomalies take diverse forms making…
We propose an algorithm to impute and forecast a time series by transforming the observed time series into a matrix, utilizing matrix estimation to recover missing values and de-noise observed entries, and performing linear regression to…
Accurate time series forecasting is critical for a wide range of problems with temporal data. Ensemble modeling is a well-established technique for leveraging multiple predictive models to increase accuracy and robustness, as the…