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In the context of time series forecasting, it is a common practice to evaluate multiple methods and choose one of these methods or an ensemble for producing the best forecasts. However, choosing among different ensembles over multiple…
Pre-trained Large Language Models (LLMs) encapsulate large amounts of knowledge and take enormous amounts of compute to train. We make use of this resource, together with the observation that LLMs are able to transfer knowledge and…
Deep probabilistic time series forecasting has gained attention for its ability to provide nonlinear approximation and valuable uncertainty quantification for decision-making. However, existing models often oversimplify the problem by…
Multivariate time series prediction has applications in a wide variety of domains and is considered to be a very challenging task, especially when the variables have correlations and exhibit complex temporal patterns, such as seasonality…
Producing probabilistic forecasts for large collections of similar and/or dependent time series is a practically relevant and challenging task. Classical time series models fail to capture complex patterns in the data, and multivariate…
Time series forecasting is crucial for many fields, such as disaster warning, weather prediction, and energy consumption. The Transformer-based models are considered to have revolutionized the field of sequence modeling. However, the…
High-dimensional observations are a major challenge in the application of model-based reinforcement learning (MBRL) to real-world environments. To handle high-dimensional sensory inputs, existing approaches use representation learning to…
In machine learning, effective modeling requires a holistic consideration of how to encode inputs, make predictions (i.e., decoding), and train the model. However, in time-series forecasting, prior work has predominantly focused on encoder…
Multivariate spatio-temporal data arise more and more frequently in a wide range of applications; however, there are relatively few general statistical methods that can readily use that incorporate spatial, temporal and variable…
Reliable uncertainty quantification is critical in multivariate time series forecasting problems arising in domains such as energy systems and transportation networks, among many others. Although Transformer-based architectures have…
Time series sequence prediction and modelling has proven to be a challenging endeavor in real world datasets. Two key issues are the multi-dimensionality of data and the interaction of independent dimensions forming a latent output signal,…
High-dimensional multivariate spatial-temporal data arise frequently in a wide range of applications; however, there are relatively few statistical methods that can simultaneously deal with spatial, temporal and variable-wise dependencies…
Modern time series forecasting methods, such as Transformer and its variants, have shown strong ability in sequential data modeling. To achieve high performance, they usually rely on redundant or unexplainable structures to model complex…
Probabilistic time series forecasting involves estimating the distribution of future based on its history, which is essential for risk management in downstream decision-making. We propose a deep state space model for probabilistic time…
Numerous deep learning architectures have been developed to accommodate the diversity of time series datasets across different domains. In this article, we survey common encoder and decoder designs used in both one-step-ahead and…
Probabilistic forecasting of multivariate time series is essential for various downstream tasks. Most existing approaches rely on the sequences being uniformly spaced and aligned across all variables. However, real-world multivariate time…
Time series forecasting is a significant problem in many applications, e.g., financial predictions and business optimization. Modern datasets can have multiple correlated time series, which are often generated with global (shared)…
Despite the high performance of neural network-based time series forecasting methods, the inherent challenge in explaining their predictions has limited their applicability in certain application areas. Due to the difficulty in identifying…
Weather forecasting refers to learning evolutionary patterns of some key upper-air and surface variables which is of great significance. Recently, deep learning-based methods have been increasingly applied in the field of weather…
Time series forecasting is often fundamental to scientific and engineering problems and enables decision making. With ever increasing data set sizes, a trivial solution to scale up predictions is to assume independence between interacting…