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Long-range time series forecasting is usually based on one of two existing forecasting strategies: Direct Forecasting and Iterative Forecasting, where the former provides low bias, high variance forecasts and the later leads to low…
The imperative of user privacy protection and regulatory compliance necessitates sensitive data removal in model training, yet this process often induces distributional shifts that undermine model performance-particularly in…
We propose a recurrent neural network for a "model-free" simulation of a dynamical system with unknown parameters without prior knowledge. The deep learning model aims to jointly learn the nonlinear time marching operator and the effects of…
State-space graphical models and the variational autoencoder framework provide a principled apparatus for learning dynamical systems from data. State-of-the-art probabilistic approaches are often able to scale to large problems at the cost…
Time series forecasting is a crucial task in machine learning, as it has a wide range of applications including but not limited to forecasting electricity consumption, traffic, and air quality. Traditional forecasting models rely on rolling…
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…
We propose Deep Neural Coregionalization, a scalable framework for uncertainty-aware multivariate geostatistics. DNC models multivariate spatial effects through spatially varying latent factors and loadings, assigning deep Gaussian process…
Generating high-quality synthetic time series is a fundamental yet challenging task across domains such as forecasting and anomaly detection, where real data can be scarce, noisy, or costly to collect. Unlike static data generation,…
Existing models for high-dimensional time series are overwhelmingly developed within the finite-order vector autoregressive (VAR) framework. However, the more flexible vector autoregressive moving averages (VARMA) have been much less…
Probabilistic inference in high-dimensional state-space models is computationally challenging. For many spatiotemporal systems, however, prior knowledge about the dependency structure of state variables is available. We leverage this…
Time-series forecasting increasingly demands not only accurate observational predictions but also causal forecasting under interventional and counterfactual queries in multivariate systems. We present DoFlow, a flow-based generative model…
In this study, we propose a novel model called the Markov-switching dynamic matrix factor (Ms-DMF) model, which serves the dual purpose of structural interpretation and prediction for high-dimensional matrix time series. When estimating the…
Sparse regularization techniques are well-established in machine learning, yet their application in neural networks remains challenging due to the non-differentiability of penalties like the $L_1$ norm, which is incompatible with stochastic…
Neural collaborative filtering (NCF) and recurrent recommender systems (RRN) have been successful in modeling user-item relational data. However, they are also limited in their assumption of static or sequential modeling of relational data…
Time Series Foundation Models (TSFMs) advance generalization and data efficiency in time series forecasting by unified large-scale pretraining. But TSFMs remain lacking when adapting to specific downstream forecasting tasks for two reasons.…
We develop a general methodological framework for probabilistic inference in discrete- and continuous-time stochastic processes evolving on directed acyclic graphs (DAGs). The process is observed only at the leaf nodes, and the challenge is…
Currently, iTransformer is one of the most popular and effective models for multivariate time series (MTS) forecasting. Thanks to its inverted framework, iTransformer effectively captures multivariate correlation. However, the inverted…
Deterministic regression-based downscaling models for climate variables often suffer from spectral bias, which can be mitigated by generative models like diffusion models. To enable efficient and reliable simulation of extreme weather…
We introduce Deep Variational Bayes Filters (DVBF), a new method for unsupervised learning and identification of latent Markovian state space models. Leveraging recent advances in Stochastic Gradient Variational Bayes, DVBF can overcome…
Time series prediction is often complicated by distribution shift which demands adaptive models to accommodate time-varying distributions. We frame time series prediction under distribution shift as a weighted empirical risk minimisation…