Related papers: CoCAI: Copula-based Conformal Anomaly Identificati…

Anomaly detection in multivariate time series is an important problem across various fields such as healthcare, financial services, manufacturing or physics detector monitoring. Accurately identifying when unexpected errors or faults occur…

Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data. We propose a…

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…

In this article, we develop fully Bayesian, copula-based, spatial-statistical models for large, noisy, incomplete, and non-Gaussian spatial data. Our approach includes novel constructions of copulas that accommodate a spatial-random-effects…

Data collected from arrays of sensors are essential for informed decision-making in various systems. However, the presence of anomalies can compromise the accuracy and reliability of insights drawn from the collected data or information…

Accurate estimation of error covariances (both background and observation) is crucial for efficient observation compression approaches in data assimilation of large-scale dynamical problems. We propose a new combination of a covariance…

Multivariate time series anomalies often manifest as shifts in cross-channel dependencies rather than simple amplitude excursions. In autonomous driving, for instance, a steering command might be internally consistent but decouple from the…

This paper considers the real-time detection of anomalies in high-dimensional systems. The goal is to detect anomalies quickly and accurately so that the appropriate countermeasures could be taken in time, before the system possibly gets…

Zero-inflated continuous data ubiquitously appear in many fields, in which lots of exactly zero-valued data are observed while others distribute continuously. Due to the mixed structure of discreteness and continuity in its distribution,…

This paper introduces a new methodology for detecting anomalies in time series data, with a primary application to monitoring the health of (micro-) services and cloud resources. The main novelty in our approach is that instead of modeling…

This paper proposes multivariate copula models for hierarchical data. They account for two types of correlation: one is between variables measured on the same unit and the other is a correlation between units in the same cluster. This model…

Performing anomaly detection in hybrid systems is a challenging task since it requires analysis of timing behavior and mutual dependencies of both discrete and continuous signals. Typically, it requires modeling system behavior, which is…

Stream networks, a unique class of spatiotemporal graphs, exhibit complex directional flow constraints and evolving dependencies, making uncertainty quantification a critical yet challenging task. Traditional conformal prediction methods…

Copulas are a fundamental tool for modelling multivariate dependencies in data, forming the method of choice in diverse fields and applications. However, the adoption of existing models for multimodal and high-dimensional dependencies is…

An approach is proposed to determine structural shift in time-series assuming non-linear dependence of lagged values of dependent variable. Copulas are used to model non-linear dependence of time series components.

Emerging large-scale engineering systems rely on distributed fusion for situational awareness, where agents combine noisy local sensor measurements with exchanged information to obtain fused estimates. However, at the sheer scale of these…

Copulas provide a modular parameterization of multivariate distributions that decouples the modeling of marginals from the dependencies between them. Gaussian Mixture Copula Model (GMCM) is a highly flexible copula that can model many kinds…

With the advancements of computer architectures, the use of computational models proliferates to solve complex problems in many scientific applications such as nuclear physics and climate research. However, the potential of such models is…

We introduce a novel modeling approach for time series imputation and forecasting, tailored to address the challenges often encountered in real-world data, such as irregular samples, missing data, or unaligned measurements from multiple…

In recent years, some researchers have applied diffusion models to multivariate time series anomaly detection. The partial diffusion strategy, which depends on the diffusion steps, is commonly used for anomaly detection in these models.…