Related papers: Deep Markov Spatio-Temporal Factorization

We introduce a dynamic spatiotemporal volatility model that extends traditional approaches by incorporating spatial, temporal, and spatiotemporal spillover effects, along with volatility-specific observed and latent factors. The model…

We study a novel large dimensional approximate factor model with regime changes in the loadings driven by a latent first order Markov process. By exploiting the equivalent linear representation of the model, we first recover the latent…

High-dimensional and sparse (HiDS) matrices are omnipresent in a variety of big data-related applications. Latent factor analysis (LFA) is a typical representation learning method that extracts useful yet latent knowledge from HiDS matrices…

This paper introduces the Deep Functional Factor Model (DF2M), a Bayesian nonparametric model designed for analysis of high-dimensional functional time series. DF2M is built upon the Indian Buffet Process and the multi-task Gaussian…

Discrete time spatial time series data arise routinely in meteorological and environmental studies. Inference and prediction associated with them are mostly carried out using any of the several variants of the linear state space model that…

Markov random fields (MRFs) are invaluable tools across diverse fields, and spatiotemporal MRFs (STMRFs) amplify their effectiveness by integrating spatial and temporal dimensions. However, modeling spatiotemporal data introduces additional…

Although many real-world stochastic planning problems are more naturally formulated by hybrid models with both discrete and continuous variables, current state-of-the-art methods cannot adequately address these problems. We present the…

The Markov Transition Field (MTF), introduced by Wang and Oates (2015), encodes a time series as a two-dimensional image by mapping each pair of time steps to the transition probability between their quantile states, estimated from a single…

This paper presents an advanced Federated Learning (FL) framework for forecasting complex spatiotemporal data, improving upon recent state-of-the-art models. In the proposed approach, the original Gated Recurrent Unit (GRU) module within…

Recent quantitative parameter mapping methods including MR fingerprinting (MRF) collect a time series of images that capture the evolution of magnetization. The focus of this work is to introduce a novel approach termed as Deep Factor…

In this paper, we consider the nonstationary matrix-valued time series with common stochastic trends. Unlike the traditional factor analysis which flattens matrix observations into vectors, we adopt a matrix factor model in order to fully…

We develop deep Poisson-gamma dynamical systems (DPGDS) to model sequentially observed multivariate count data, improving previously proposed models by not only mining deep hierarchical latent structure from the data, but also capturing…

We all depend on mobility, and vehicular transportation affects the daily lives of most of us. Thus, the ability to forecast the state of traffic in a road network is an important functionality and a challenging task. Traffic data is often…

We present the first calculations of the inelastic part of the dynamical structure factor (DSF) for warm dense matter (WDM) using Time-Dependent Orbital-Free Density Functional Theory (TD-OF-DFT) and Mixed-Stochastic-Deterministic (mixed)…

Gaussian Markov random fields (GMRFs) are probabilistic graphical models widely used in spatial statistics and related fields to model dependencies over spatial structures. We establish a formal connection between GMRFs and convolutional…

Factors models are routinely used to analyze high-dimensional data in both single-study and multi-study settings. Bayesian inference for such models relies on Markov Chain Monte Carlo (MCMC) methods which scale poorly as the number of…

Probabilistic forecasting of high dimensional multivariate time series is a notoriously challenging task, both in terms of computational burden and distribution modeling. Most previous work either makes simple distribution assumptions or…

We propose novel Bayesian Dynamic Clustering Factor Models (BDCFM) for the analysis of multivariate longitudinal data. BDCFM combines factor models with hidden Markov models to concomitantly perform dimension reduction, clustering, and…

We propose a parsimonious class of arbitrage-free, yields-only dynamic term structure models (DTSMs) with unspanned latent risks. To enable sequential estimation and forecasting, we develop a Sequential Monte Carlo framework that combines…

Multivariate spatially-oriented data sets are prevalent in the environmental and physical sciences. Scientists seek to jointly model multiple variables, each indexed by a spatial location, to capture any underlying spatial association for…