Related papers: Long Range Switching Time Series Prediction via St…

Gaussian state space models have been used for decades as generative models of sequential data. They admit an intuitive probabilistic interpretation, have a simple functional form, and enjoy widespread adoption. We introduce a unified…

This note investigates the stability of both linear and nonlinear switched systems with average dwell time. Two new analysis methods are proposed. Different from existing approaches, the proposed methods take into account the sequence in…

State-space models (SSMs) are a class of networks for sequence learning that benefit from fixed state size and linear complexity with respect to sequence length, contrasting the quadratic scaling of typical attention mechanisms. Inspired…

In recent years, numerous Transformer-based models have been applied to long-term time-series forecasting (LTSF) tasks. However, recent studies with linear models have questioned their effectiveness, demonstrating that simple linear layers…

We propose a technique for learning representations of parser states in transition-based dependency parsers. Our primary innovation is a new control structure for sequence-to-sequence neural networks---the stack LSTM. Like the conventional…

We study the problem of modeling a non-linear dynamical system when given a time series by deriving equations directly from the data. Despite the fact that time series data are given as input, models for dynamics and estimation algorithms…

This paper addresses the problem of basis correction in the context of LSS identification from input-output data. It is often the case that identification algorithms for the LSSs from input-output data operate locally. The individually…

Sequence modeling faces challenges in capturing long-range dependencies across diverse tasks. Recent linear and transformer-based forecasters have shown superior performance in time series forecasting. However, they are constrained by their…

State-space models (SSMs) have recently emerged as a framework for learning long-range sequence tasks. An example is the structured state-space sequence (S4) layer, which uses the diagonal-plus-low-rank structure of the HiPPO initialization…

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…

We study the problem of learning a mixture of multiple linear dynamical systems (LDSs) from unlabeled short sample trajectories, each generated by one of the LDS models. Despite the wide applicability of mixture models for time-series data,…

Latent space models are powerful statistical tools for modeling and understanding network data. While the importance of accounting for uncertainty in network analysis has been well recognized, the current literature predominantly focuses on…

Natural systems are typically nonlinear and complex, and it is of great interest to be able to reconstruct a system in order to understand its mechanism, which can not only recover nonlinear behaviors but also predict future dynamics. Due…

Adaptive time series forecasting is essential for prediction under regime changes. Several classical methods assume linear Gaussian state space model (LGSSM) with variances constant in time. However, there are many real-world processes that…

Anomaly detection of multivariate time series is meaningful for system behavior monitoring. This paper proposes an anomaly detection method based on unsupervised Short- and Long-term Mask Representation learning (SLMR). The main idea is to…

High-dimensional time series are characterized by a large number of measurements and complex dependence, and often involve abrupt change points. We propose a new procedure to detect change points in the mean of high-dimensional time series…

Structured state-space models (SSMs) such as S4, stemming from the seminal work of Gu et al., are gaining popularity as effective approaches for modeling sequential data. Deep SSMs demonstrate outstanding performance across a diverse set of…

Time series prediction can be generalized as a process that extracts useful information from historical records and then determines future values. Learning long-range dependencies that are embedded in time series is often an obstacle for…

Sequential recommendation is a key area in the field of recommendation systems aiming to model user interest based on historical interaction sequences with irregular intervals. While previous recurrent neural network-based and…

We seek a computationally efficient model for a collection of time series arising from multiple interacting entities (a.k.a. "agents"). Recent models of temporal patterns across individuals fail to incorporate explicit system-level…