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Time series forecasting presents unique challenges that limit the effectiveness of traditional machine learning algorithms. To address these limitations, various approaches have incorporated linear constraints into learning algorithms, such…
Multivariate time series alignment is critical for ensuring coherent analysis across variables, but missing values and timestamp inconsistencies make this task highly challenging. Existing approaches often rely on prior imputation, which…
This paper presents a formal framework and proposes algorithms to extend forecast reconciliation to discrete-valued data to extend forecast reconciliation to discrete-valued data, including low counts. A novel method is introduced based on…
Methods for forecasting time series adhering to linear constraints have seen notable development in recent years, especially with the advent of forecast reconciliation. This paper extends forecast reconciliation to the open question of…
Many real-life applications involve simultaneously forecasting multiple time series that are hierarchically related via aggregation or disaggregation operations. For instance, commercial organizations often want to forecast inventories…
Forecast reconciliation is the post-forecasting process aimed to revise a set of incoherent base forecasts into coherent forecasts in line with given data structures. Most of the point and probabilistic regression-based forecast…
Given a matrix $M\in \mathbb{R}^{m\times n}$, the low rank matrix completion problem asks us to find a rank-$k$ approximation of $M$ as $UV^\top$ for $U\in \mathbb{R}^{m\times k}$ and $V\in \mathbb{R}^{n\times k}$ by only observing a few…
The rapid development of time series forecasting research has brought many deep learning-based modules in this field. However, despite the increasing amount of new forecasting architectures, it is still unclear if we have leveraged the full…
Time series forecasting uses historical data to predict future trends, leveraging the relationships between past observations and available features. In this paper, we propose RAFT, a retrieval-augmented time series forecasting method to…
Phase retrieval problems involve solving linear equations, but with missing sign (or phase, for complex numbers) information. More than four decades after it was first proposed, the seminal error reduction algorithm of (Gerchberg and Saxton…
The problem of combining multiple forecasts of related quantities that obey expected equality and additivity constraints, often referred to a hierarchical forecast reconciliation, is naturally stated as a simple optimization problem. In…
Irregular Multivariate Time Series (IMTS) are characterized by uneven intervals between consecutive timestamps, which carry sampling pattern information valuable and informative for learning temporal and variable dependencies. In addition,…
In a recent paper, while elucidating the links between forecast combination and cross-sectional forecast reconciliation, Hollyman et al. (2021) have proposed a forecast combination-based approach to the reconciliation of a simple hierarchy.…
Alternating minimization represents a widely applicable and empirically successful approach for finding low-rank matrices that best fit the given data. For example, for the problem of low-rank matrix completion, this method is believed to…
We propose to estimate the weight matrix used for forecast reconciliation as parameters in a general linear model in order to quantify its uncertainty. This implies that forecast reconciliation can be formulated as an orthogonal projection…
Platform businesses operate on a digital core and their decision making requires high-dimensional accurate forecast streams at different levels of cross-sectional (e.g., geographical regions) and temporal aggregation (e.g., minutes to…
We consider the matrix completion problem of recovering a structured low rank matrix with partially observed entries with mixed data types. Vast majority of the solutions have proposed computationally feasible estimators with strong…
The matrix profile is an effective data mining tool that provides similarity join functionality for time series data. Users of the matrix profile can either join a time series with itself using intra-similarity join (i.e., self-join) or…
The multiplication of matrices is an important arithmetic operation in computational mathematics. In the context of hierarchical matrices, this operation can be realized by the multiplication of structured block-wise low-rank matrices,…
Data scarcity and discontinuity are common occurrences in the healthcare and epidemiological dataset and often need help in forming an educative decision and forecasting the upcoming scenario. Often, these data are stored as monthly/yearly…