相关论文: Multivariate time-series modeling with generative …

Generative moment matching networks (GMMNs) are suggested for modeling the cross-sectional dependence between stochastic processes. The stochastic processes considered are geometric Brownian motions and ARMA-GARCH models. Geometric Brownian…

Generative moment matching networks (GMMNs) are introduced for generating quasi-random samples from multivariate models with any underlying copula in order to compute estimates under variance reduction. So far, quasi-random sampling for…

Modeling multivariate time series has long been a subject that has attracted researchers from a diverse range of fields including economics, finance, and traffic. A basic assumption behind multivariate time series forecasting is that its…

We introduce a general approach for modeling the dynamic of multivariate time series when the data are of mixed type (binary/count/continuous). Our method is quite flexible and conditionally on past values, each coordinate at time $t$ can…

An adaptive bandwidth selection procedure for the mixture kernel in the maximum mean discrepancy (MMD) for fitting generative moment matching networks (GMMNs) is introduced, and its ability to improve the learning of copula random number…

Multivariate time series (MTS) forecasting plays an important role in the automation and optimization of intelligent applications. It is a challenging task, as we need to consider both complex intra-variable dependencies and inter-variable…

Forecasting on sparse multivariate time series (MTS) aims to model the predictors of future values of time series given their incomplete past, which is important for many emerging applications. However, most existing methods process MTS's…

Time-series data augmentation plays a crucial role in regression-oriented forecasting tasks, where limited data restricts the performance of deep learning models. While Generative Adversarial Networks (GANs) have shown promise in synthetic…

In the copula-based approach to univariate time series modeling, the finite dimensional temporal dependence of a stationary time series is captured by a copula. Recent studies investigate how copula-based time series models can be…

Graphical Transformation Models (GTMs) are introduced as a novel approach to effectively model multivariate data with intricate marginals and complex dependency structures semiparametrically, while maintaining interpretability through the…

Copula-based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula and the stationary distribution. Implicitly this approach…

Finding parametric models that accurately describe the dependence structure of observed data is a central task in the analysis of time series. Classical frequency domain methods provide a popular set of tools for fitting and diagnostics of…

Ensemble weather forecasts based on multiple runs of numerical weather prediction models typically show systematic errors and require post-processing to obtain reliable forecasts. Accurately modeling multivariate dependencies is crucial in…

Similarity-based approaches represent a promising direction for time series analysis. However, many such methods rely on parameter tuning, and some have shortcomings if the time series are multivariate (MTS), due to dependencies between…

The imputation of the Multivariate time series (MTS) is particularly challenging since the MTS typically contains irregular patterns of missing values due to various factors such as instrument failures, interference from irrelevant data,…

Devising and analyzing learning models for spatiotemporal network data is of importance for tasks including forecasting, anomaly detection, and multi-agent coordination, among others. Graph Convolutional Neural Networks (GCNNs) are an…

In recent years, there has been an increasing interest in the use of graph neural networks (GNNs) for analyzing dynamic graphs, which are graphs that evolve over time. However, there is still a lack of understanding of how different…

The non-stationary nature of real-world Multivariate Time Series (MTS) data presents forecasting models with a formidable challenge of the time-variant distribution of time series, referred to as distribution shift. Existing studies on the…

The essence of multivariate sequential learning is all about how to extract dependencies in data. These data sets, such as hourly medical records in intensive care units and multi-frequency phonetic time series, often time exhibit not only…

Longitudinal studies frequently incorporate covariates that evolve over time, creating complex dependence structures between outcomes and predictors. When covariates are time dependent, standard power analysis tools--largely developed for…