Related papers: Multivariate time-series modeling with generative …

Conventional time series classification approaches based on bags of patterns or shapelets face significant challenges in dealing with a vast amount of feature candidates from high-dimensional multivariate data. In contrast, deep neural…

Dealing with missing values and incomplete time series is a labor-intensive, tedious, inevitable task when handling data coming from real-world applications. Effective spatio-temporal representations would allow imputation methods to…

We propose an algorithm grounded in dynamical systems theory that generalizes manifold learning from a global state representation, to a network of local interacting manifolds termed a Generative Manifold Network (GMN). Manifolds are…

Fracture is one of the main causes of failure in engineering structures. Phase field methods coupled with adaptive mesh refinement (AMR) techniques have been widely used to model crack propagation due to their ease of implementation and…

We consider the problem of learning deep generative models from data. We formulate a method that generates an independent sample via a single feedforward pass through a multilayer perceptron, as in the recently proposed generative…

Matrix-variate time series data are largely available in applications. However, no attempt has been made to study their conditional heteroskedasticity that is often observed in economic and financial data. To address this gap, we propose a…

Use of copula for the purpose of modeling dependence has been receiving considerable attention in recent times. On the other hand, search for multivariate copulas with desirable dependence properties also is an important area of research.…

Graph-based techniques emerged as a choice to deal with the dimensionality issues in modeling multivariate time series. However, there is yet no complete understanding of how the underlying structure could be exploited to ease this task.…

We express the classic ARMA time-series model as a directed graphical model. In doing so, we find that the deterministic relationships in the model make it effectively impossible to use the EM algorithm for learning model parameters. To…

We propose a semi-partitioned Generalized Method of Moments (GMM) framework for analyzing longitudinal data with time-dependent covariates, within a marginal modeling paradigm. This approach addresses limitations of both aggregated and…

GNNs have been proven to perform highly effective in various node-level, edge-level, and graph-level prediction tasks in several domains. Existing approaches mainly focus on static graphs. However, many graphs change over time with their…

Multivariate Time Series Classification (MTSC) enables the analysis if complex temporal data, and thus serves as a cornerstone in various real-world applications, ranging from healthcare to finance. Since the relationship among variables in…

Graph neural networks are often used to model interacting dynamical systems since they gracefully scale to systems with a varying and high number of agents. While there has been much progress made for deterministic interacting systems,…

In this paper, we present XST-GCNN (eXplainable Spatio-Temporal Graph Convolutional Neural Network), a novel architecture for processing heterogeneous and irregular Multivariate Time Series (MTS) data. Our approach captures temporal and…

Temporal Graph Neural Networks (TGNNs) are powerful models to capture temporal, structural, and contextual information on temporal graphs. The generated temporal node embeddings outperform other methods in many downstream tasks. Real-world…

Scenario generations of cooling, heating, and power loads are of great significance for the economic operation and stability analysis of integrated energy systems. In this paper, a novel deep generative network is proposed to model cooling,…

Conditional generation of time-dependent data is a task that has much interest, whether for data augmentation, scenario simulation, completing missing data, or other purposes. Recent works proposed a Transformer-based Time series generative…

Modeling returns on large portfolios is a challenging problem as the number of parameters in the covariance matrix grows as the square of the size of the portfolio. Traditional correlation models, for example, the dynamic conditional…

We construct fractionally integrated continuous-time GARCH models, which capture the observed long range dependence of squared volatility in high-frequency data. Since the usual Molchan-Golosov and Mandelbrot-van-Ness fractional kernels…

In this paper, we show that the recent integration of statistical models with deep recurrent neural networks provides a new way of formulating volatility (the degree of variation of time series) models that have been widely used in time…