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In multivariate time series systems, lead-lag relationships reveal dependencies between time series when they are shifted in time relative to each other. Uncovering such relationships is valuable in downstream tasks, such as control,…
Multi-variate time series forecasting is an important problem with a wide range of applications. Recent works model the relations between time-series as graphs and have shown that propagating information over the relation graph can improve…
Time series of individual subjects have become a common data type in psychological research. These data allow one to estimate models of within-subject dynamics, and thereby avoid the notorious problem of making within-subjects inferences…
While artificial neural networks excel in unsupervised learning of non-sparse structure, classical statistical regression techniques offer better interpretability, in particular when sparseness is enforced by $\ell_1$ regularization,…
In this work, we propose \texttt{TimeGrad}, an autoregressive model for multivariate probabilistic time series forecasting which samples from the data distribution at each time step by estimating its gradient. To this end, we use diffusion…
Causal models seek to unravel the cause-effect relationships among variables from observed data, as opposed to mere mappings among them, as traditional regression models do. This paper introduces a novel causal discovery algorithm designed…
Causal inference in multivariate time series is challenging due to the fact that the sampling rate may not be as fast as the timescale of the causal interactions. In this context, we can view our observed series as a subsampled version of…
We explore estimation and forecast accuracy for sparse linear models, focusing on scenarios where both predictors and errors carry serial correlations. We establish a clear link between predictor serial correlation and the performance of…
Clustering of time series based on their underlying dynamics is keeping attracting researchers due to its impacts on assisting complex system modelling. Most current time series clustering methods handle only scalar time series, treat them…
Graph deep learning methods have become popular tools to process collections of correlated time series. Unlike traditional multivariate forecasting methods, graph-based predictors leverage pairwise relationships by conditioning forecasts on…
Relationships among time series can be exploited as inductive biases in learning effective forecasting models. In hierarchical time series, relationships among subsets of sequences induce hard constraints (hierarchical inductive biases) on…
While classical time series forecasting considers individual time series in isolation, recent advances based on deep learning showed that jointly learning from a large pool of related time series can boost the forecasting accuracy. However,…
This paper addresses the challenges of fault prediction and delayed response in distributed systems by proposing an intelligent prediction method based on temporal feature learning. The method takes multi-dimensional performance metric…
We consider estimation in a high-dimensional linear model with strongly correlated variables. We propose to cluster the variables first and do subsequent sparse estimation such as the Lasso for cluster-representatives or the group Lasso…
Causal structure learning, also known as causal discovery, aims to estimate causal relationships between variables as a form of a causal directed acyclic graph (DAG) from observational data. One of the major frameworks is the order-based…
Accurately modeling the correlation structure of errors is critical for reliable uncertainty quantification in probabilistic time series forecasting. While recent deep learning models for multivariate time series have developed efficient…
Time series forecasting is an important task in many fields ranging from supply chain management to weather forecasting. Recently, Transformer neural network architectures have shown promising results in forecasting on common time series…
Ensembling is a powerful technique for improving the accuracy of machine learning models, with methods like stacking achieving strong results in tabular tasks. In time series forecasting, however, ensemble methods remain underutilized, with…
Time series forecasting is a critical task in various domains, where accurate predictions can drive informed decision-making. Traditional forecasting methods often rely on current observations of variables to predict future outcomes,…
Many modern big data applications feature large scale in both numbers of responses and predictors. Better statistical efficiency and scientific insights can be enabled by understanding the large-scale response-predictor association network…