Related papers: Multivariate Time series Anomaly Detection:A Frame…
Pulsar timing experiments typically generate a phase-connected timing solution from a sequence of times-of-arrival (TOAs) by absolute pulse numbering, i.e. by fitting an integer number of pulses between TOAs in order to minimize the…
While anomaly detection in time series has been an active area of research for several years, most recent approaches employ an inadequate evaluation criterion leading to an inflated F1 score. We show that a rudimentary Random Guess method…
Nature, as far as we know, evolves continuously through space and time. Yet the ubiquitous hidden Markov model (HMM)--originally developed for discrete time and space analysis in natural language processing--remains a central tool in…
We address the multiple testing problem under the assumption that the true/false hypotheses are driven by a Hidden Markov Model (HMM), which is recognized as a fundamental setting to model multiple testing under dependence since the seminal…
Motivated by Hubert's segmentation procedure we discuss the application of hidden Markov models (HMM) to the segmentation of hydrological and enviromental time series. We use a HMM algorithm which segments time series of several hundred…
For multivariate time series driven by underlying states, hidden Markov models (HMMs) constitute a powerful framework which can be flexibly tailored to the situation at hand. However, in practice it can be challenging to choose an adequate…
Multivariate Time Series (MVTS) anomaly detection is a long-standing and challenging research topic that has attracted tremendous research effort from both industry and academia recently. However, a careful study of the literature makes us…
Anomalies in univariate time series often refer to abnormal values and deviations from the temporal patterns from majority of historical observations. In multivariate time series, anomalies also refer to abnormal changes in the inter-series…
Multivariate longitudinal data of mixed-type are increasingly collected in many science domains. However, algorithms to cluster this kind of data remain scarce, due to the challenge to simultaneously model the within- and between-time…
We develop clustering procedures for longitudinal trajectories based on a continuous-time hidden Markov model (CTHMM) and a generalized linear observation model. Specifically in this paper, we carry out finite and infinite mixture…
In this article we suggest a new statistical approach considering survival heterogeneity as a breakpoint model in an ordered sequence of time to event variables. The survival responses need to be ordered according to a numerical covariate.…
Stochastic volatility models are the backbone of financial engineering. We study both continuous time diffusions as well as discrete time models. We propose two novel approaches to estimating stochastic volatility diffusions, one using…
The continued digitization of societal processes translates into a proliferation of time series data that cover applications such as fraud detection, intrusion detection, and energy management, where anomaly detection is often essential to…
A regularized vector autoregressive hidden semi-Markov model is developed to analyze multivariate financial time series with switching data generating regimes. Furthermore, an augmented EM algorithm is proposed for parameter estimation by…
Hidden Quantum Markov Models (HQMMs) can be thought of as quantum probabilistic graphical models that can model sequential data. We extend previous work on HQMMs with three contributions: (1) we show how classical hidden Markov models…
Much of the worlds data is streaming, time-series data, where anomalies give significant information in critical situations. Yet detecting anomalies in streaming data is a difficult task, requiring detectors to process data in real-time,…
Vehicle telematics provides granular data for dynamic driving risk assessment, but current methods often rely on aggregated metrics (e.g., harsh braking counts) and do not fully exploit the rich time-series structure of telematics data. In…
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.…
There is much interest in the Hierarchical Dirichlet Process Hidden Markov Model (HDP-HMM) as a natural Bayesian nonparametric extension of the ubiquitous Hidden Markov Model for learning from sequential and time-series data. However, in…
Hidden Markov Models (HMMs) are a ubiquitous tool to model time series data, and have been widely used in two main tasks of Automatic Music Transcription (AMT): note segmentation, i.e. identifying the played notes after a multi-pitch…