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Recently, autoencoders (AEs) have gained interest for creating parametric and invertible projections of multidimensional data. Parametric projections make it possible to embed new, unseen samples without recalculating the entire projection,…
Time series forecasting has been a widely explored task of great importance in many applications. However, it is common that real-world time series data are recorded in a short time period, which results in a big gap between the deep model…
Local volatility is an important quantity in option pricing, portfolio hedging, and risk management. It is not directly observable from the market; hence calibrations of local volatility models are necessary using observable market data.…
Turbulent dynamical systems characterized by both a high-dimensional phase space and a large number of instabilities are ubiquitous among many complex systems in science and engineering. The existence of a strange attractor in the turbulent…
The inherently diverse and uncertain nature of trajectories presents a formidable challenge in accurately modeling them. Motion prediction systems must effectively learn spatial and temporal information from the past to forecast the future…
We introduce a novel Bayesian framework for estimating time-varying volatility by extending the Random Walk Stochastic Volatility (RWSV) model with Dynamic Shrinkage Processes (DSP) in log-variances. Unlike the classical Stochastic…
This paper addresses the problem of detecting and characterizing local variability in time series and other forms of sequential data. The goal is to identify and characterize statistically significant variations, at the same time…
Parameters of the mathematical model describing many practical dynamical systems are prone to vary due to aging or renewal, wear and tear, as well as changes in environmental or service conditions. These variabilities will adversely affect…
Time-series anomaly detection (TSAD) requires identifying both immediate Point Anomalies and long-range Context Anomalies. However, existing foundation models face a fundamental trade-off: 1D temporal models provide fine-grained pointwise…
Irregularly sampled time series commonly occur in several domains where they present a significant challenge to standard deep learning models. In this paper, we propose a new deep learning framework for probabilistic interpolation of…
Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with leverage effect and generalized hyperbolic skew…
A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distribution to allow for different correlation…
Accurate ocean modeling and coastal hazard prediction depend on high-resolution bathymetric data; yet, current worldwide datasets are too coarse for exact numerical simulations. While recent deep learning advances have improved earth…
In this paper, we apply a recently developed nonparametric modeling approach, the "diffusion forecast", to predict the time-evolution of Fourier modes of turbulent dynamical systems. While the diffusion forecasting method assumes the…
Urban vibrancy reflects the dynamic human activity within urban spaces and is often measured using mobile data that captures floating population trends. This study proposes a novel approach to derive Urban Vibrancy embeddings from real-time…
Variational autoencoders (VAEs) are a popular class of deep generative models with many variants and a wide range of applications. Improvements upon the standard VAE mostly focus on the modelling of the posterior distribution over the…
This paper addresses the problem of multi-step time series forecasting for non-stationary signals that can present sudden changes. Current state-of-the-art deep learning forecasting methods, often trained with variants of the MSE, lack the…
In recent years, the field of machine learning has made phenomenal progress in the pursuit of simulating real-world data generation processes. One notable example of such success is the variational autoencoder (VAE). In this work, with a…
Recent work in synthetic data generation in the time-series domain has focused on the use of Generative Adversarial Networks. We propose a novel architecture for synthetically generating time-series data with the use of Variational…
Developing reduced-order models applicable to fluid-dynamics problems involving complex geometries and different flow conditions remains a critical challenge for turbulent flows. This study introduces VIVALDy, a novel machine-learning…