相关论文: Forecasting Multilinear Data via Transform-Based T…

Modern technological advances have enabled an unprecedented amount of structured data with complex temporal dependence, urging the need for new methods to efficiently model and forecast high-dimensional tensor-valued time series. This paper…

Contemporary time series analysis has seen more and more tensor type data, from many fields. For example, stocks can be grouped according to Size, Book-to-Market ratio, and Operating Profitability, leading to a 3-way tensor observation at…

Probabilistic forecasting of high dimensional multivariate time series is a notoriously challenging task, both in terms of computational burden and distribution modeling. Most previous work either makes simple distribution assumptions or…

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…

The availability of multidimensional economic datasets has grown significantly in recent years. An example is bilateral trade values across goods among countries, comprising three dimensions -- importing countries, exporting countries, and…

Autoregressive networks can achieve promising performance in many sequence modeling tasks with short-range dependence. However, when handling high-dimensional inputs and outputs, the huge amount of parameters in the network lead to…

Dimensionality reduction is an effective method for learning high-dimensional data, which can provide better understanding of decision boundaries in human-readable low-dimensional subspace. Linear methods, such as principal component…

Most currently used tensor regression models for high-dimensional data are based on Tucker decomposition, which has good properties but loses its efficiency in compressing tensors very quickly as the order of tensors increases, say greater…

We propose a novel multilinear dynamical system (MLDS) in a transform domain, named $\mathcal{L}$-MLDS, to model tensor time series. With transformations applied to a tensor data, the latent multidimensional correlations among the frontal…

The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible description and analysis. The volatility…

Threshold Autoregressive (TAR) models have been widely used by statisticians for non-linear time series forecasting during the past few decades, due to their simplicity and mathematical properties. On the other hand, in the forecasting…

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…

Time series data is a key element of big data analytics, commonly found in domains such as finance, healthcare, climate forecasting, and transportation. In large scale real world settings, such data is often high dimensional and…

Time series prediction has been a long-standing research topic and an essential application in many domains. Modern time series collected from sensor networks (e.g., energy consumption and traffic flow) are often large-scale and incomplete…

The forecasting of multi-variate time processes through graph-based techniques has recently been addressed under the graph signal processing framework. However, problems in the representation and the processing arise when each time series…

Multivariate time series forecasting focuses on predicting future values based on historical context. State-of-the-art sequence-to-sequence models rely on neural attention between timesteps, which allows for temporal learning but fails to…

We present a new method for forecasting systems of multiple interrelated time series. The method learns the forecast models together with discovering leading indicators from within the system that serve as good predictors improving the…

High-dimensional multivariate spatial-temporal data arise frequently in a wide range of applications; however, there are relatively few statistical methods that can simultaneously deal with spatial, temporal and variable-wise dependencies…

The objective of this work is to improve the accuracy of building demand forecasting. This is a more challenging task than grid level forecasting. For the said purpose, we develop a new technique called recurrent transform learning (RTL).…

Probabilistic forecasting of time series is an important matter in many applications and research fields. In order to draw conclusions from a probabilistic forecast, we must ensure that the model class used to approximate the true…