Related papers: Deep Functional Factor Models: Forecasting High-Di…

We introduce deep switching auto-regressive factorization (DSARF), a deep generative model for spatio-temporal data with the capability to unravel recurring patterns in the data and perform robust short- and long-term predictions. Similar…

Deep matrix factorizations (deep MFs) are recent unsupervised data mining techniques inspired by constrained low-rank approximations. They aim to extract complex hierarchies of features within high-dimensional datasets. Most of the loss…

We propose a Bayesian nonparametric approach to the problem of jointly modeling multiple related time series. Our approach is based on the discovery of a set of latent, shared dynamical behaviors. Using a beta process prior, the size of the…

Deep Feedback Models (DFMs) are a new class of stateful neural networks that combine bottom up input with high level representations over time. This feedback mechanism introduces dynamics into otherwise static architectures, enabling DFMs…

Deep learning models typically use single-precision (FP32) floating point data types for representing activations and weights, but a slew of recent research work has shown that computations with reduced-precision data types (FP16, 16-bit…

Since many decades, there is a general perception in literature that the Fourier methods are not suitable for the analysis of nonlinear and nonstationary data. In this paper, we propose a Fourier Decomposition Method (FDM) and demonstrate…

Factor modeling is a powerful statistical technique that permits to capture the common dynamics in a large panel of data with a few latent variables, or factors, thus alleviating the curse of dimensionality. Despite its popularity and…

Regression models are used for inference and prediction in a wide range of applications providing a powerful scientific tool for researchers and analysts from different fields. In many research fields the amount of available data as well as…

We propose a new approach, called as functional deep neural network (FDNN), for classifying multi-dimensional functional data. Specifically, a deep neural network is trained based on the principle components of the training data which shall…

The lack of real-world data in clinical fields poses a major obstacle in training effective AI models for diagnostic and preventive tools in medicine. Generative AI has shown promise in increasing data volume and enhancing model training,…

Analyzing multivariate time series data is important to predict future events and changes of complex systems in finance, manufacturing, and administrative decisions. The expressiveness power of Gaussian Process (GP) regression methods has…

The integration of Fourier transform and deep learning opens new avenues for time series forecasting. We reconsider the Fourier transform from a basis functions perspective. Specifically, the real and imaginary parts of the frequency…

Data can be assumed to be continuous functions defined on an infinite-dimensional space for many phenomena. However, the infinite-dimensional data might be driven by a small number of latent variables. Hence, factor models are relevant for…

Large-scale and multidimensional spatiotemporal data sets are becoming ubiquitous in many real-world applications such as monitoring urban traffic and air quality. Making predictions on these time series has become a critical challenge due…

Financial scenario simulation is essential for risk management and portfolio optimization, yet it remains challenging especially in high-dimensional and small data settings common in finance. We propose a diffusion factor model that…

This paper presents a Bayesian nonparametric latent feature model specially suitable for exploratory analysis of high-dimensional count data. We perform a non-negative doubly sparse matrix factorization that has two main advantages: not…

We propose a two-step procedure to model and predict high-dimensional functional time series, where the number of function-valued time series $p$ is large in relation to the length of time series $n$. Our first step performs an…

Deep fundamental factor models are developed to automatically capture non-linearity and interaction effects in factor modeling. Uncertainty quantification provides interpretability with interval estimation, ranking of factor importances and…

Matrix factorisation methods decompose multivariate observations as linear combinations of latent feature vectors. The Indian Buffet Process (IBP) provides a way to model the number of latent features required for a good approximation in…

User and item features of side information are crucial for accurate recommendation. However, the large number of feature dimensions, e.g., usually larger than 10^7, results in expensive storage and computational cost. This prohibits fast…