相关论文: VEST: Automatic Feature Engineering for Forecastin…

We propose a multiscale approach to time series autoregression, in which linear regressors for the process in question include features of its own path that live on multiple timescales. We take these multiscale features to be the recent…

In this contribution we introduce weakly locally stationary time series through the local approximation of the non-stationary covariance structure by a stationary one. This allows us to define autoregression coefficients in a non-stationary…

Recurrent auto-encoder model summarises sequential data through an encoder structure into a fixed-length vector and then reconstructs the original sequence through the decoder structure. The summarised vector can be used to represent time…

Benchmark quality is critical for meaningful evaluation and sustained progress in time series forecasting, particularly with the rise of pretrained models. Existing benchmarks often have limited domain coverage or overlook real-world…

Machine learning techniques always aim to reduce the generalized prediction error. In order to reduce it, ensemble methods present a good approach combining several models that results in a greater forecasting capacity. The Random Machines…

High-dimensional time series are a core ingredient of the statistical modeling toolkit, for which numerous estimation methods are known.But when observations are scarce or corrupted, the learning task becomes much harder.The question is:…

Variational autoencoders (VAEs) have been used extensively to discover low-dimensional latent factors governing neural activity and animal behavior. However, without careful model selection, the uncovered latent factors may reflect noise in…

The reduced-rank vector autoregressive (VAR) model can be interpreted as a supervised factor model, where two factor modelings are simultaneously applied to response and predictor spaces. This article introduces a new model, called vector…

Traffic prediction is a cornerstone of modern intelligent transportation systems and a critical task in spatio-temporal forecasting. Although advanced Spatio-temporal Graph Neural Networks (STGNNs) and pre-trained models have achieved…

Many economic variables feature changes in their conditional mean and volatility, and Time Varying Vector Autoregressive Models are often used to handle such complexity in the data. Unfortunately, when the number of series grows, they…

Recent advances in time series classification have largely focused on methods that either employ deep learning or utilize other machine learning models for feature extraction. Though successful, their power often comes at the requirement of…

Performance estimation aims at estimating the loss that a predictive model will incur on unseen data. These procedures are part of the pipeline in every machine learning project and are used for assessing the overall generalisation ability…

This paper proposes a new high dimensional regression method by merging Gaussian process regression into a variational autoencoder framework. In contrast to other regression methods, the proposed method focuses on the case where output…

Stock trend forecasting, aiming at predicting the stock future trends, is crucial for investors to seek maximized profits from the stock market. Many event-driven methods utilized the events extracted from news, social media, and discussion…

Time series forecasting using historical data has been an interesting and challenging topic, especially when the data is corrupted by missing values. In many industrial problem, it is important to learn the inference function between the…

Understanding the time-varying structure of complex temporal systems is one of the main challenges of modern time series analysis. In this paper, we show that every uniformly-positive-definite-in-covariance and sufficiently short-range…

In this paper we survey the most recent advances in supervised machine learning and high-dimensional models for time series forecasting. We consider both linear and nonlinear alternatives. Among the linear methods we pay special attention…

Regression problems with time-series predictors are common in banking and many other areas of application. In this paper, we use multi-head attention networks to develop interpretable features and use them to achieve good predictive…

A new approach for feature extraction from time series is proposed in this paper. This approach consists of a specific regression model incorporating a discrete hidden logistic process. The model parameters are estimated by the maximum…

The unsupervised Pretraining method has been widely used in aiding human action recognition. However, existing methods focus on reconstructing the already present frames rather than generating frames which happen in future.In this paper, We…