A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
NoTMF forecasts sparse urban road movement speeds with nonstationary temporal matrix factorization.
Method improves clarity in forecasting spatio-temporal data.
High-dimensional time series prediction is needed in applications as diverse as demand forecasting and climatology. Often, such applications require methods that are both highly scalable, and deal with noisy data in terms of corruptions or missing values. Classical time series methods usually fall short of handling bot…
Proposes tPARAFAC2 for tracking evolving patterns in time-evolving data.
dCMF models evolving patterns in multiway data with temporal dynamics.
A model for POI recommendation using relation embedding.
A new model BGAR(1) improves temporal NMF for time series data.
Motivated by electricity consumption metering, we extend existing nonnegative matrix factorization (NMF) algorithms to use linear measurements as observations, instead of matrix entries. The objective is to estimate multiple time series at a fine temporal scale from temporal aggregates measured on each individual serie…
Study discovers patterns in insulin needs for T1D patients.
We introduce the probabilistic sequential matrix factorization (PSMF) method for factorizing time-varying and non-stationary datasets consisting of high-dimensional time-series. In particular, we consider nonlinear Gaussian state-space models where sequential approximate inference results in the factorization of a data…
Regular medical records are useful for medical practitioners to analyze and monitor patient health status especially for those with chronic disease, but such records are usually incomplete due to unpunctuality and absence of patients. In order to resolve the missing data problem over time, tensor-based model is suggest…
In this paper we address speaker-independent multichannel speech enhancement in unknown noisy environments. Our work is based on a well-established multichannel local Gaussian modeling framework. We propose to use a neural network for modeling the speech spectro-temporal content. The parameters of this supervised model…
FOCUS method forecasts counterfactuals in panel data with time series dynamics.
Optimal model selection for forecasting large collections of short time series using latent space.
Identifying recurring patterns in high-dimensional time series data is an important problem in many scientific domains. A popular model to achieve this is convolutive nonnegative matrix factorization (CNMF), which extends classic nonnegative matrix factorization (NMF) to extract short-lived temporal motifs from a long …
Phenotyping electronic health records (EHR) focuses on defining meaningful patient groups (e.g., heart failure group and diabetes group) and identifying the temporal evolution of patients in those groups. Tensor factorization has been an effective tool for phenotyping. Most of the existing works assume either a static …
The data in many disciplines such as social networks, web analysis, etc. is link-based, and the link structure can be exploited for many different data mining tasks. In this paper, we consider the problem of temporal link prediction: Given link data for times 1 through T, can we predict the links at time T+1? If our da…
New method improves dynamic topic modeling for large-scale data.
Temporal coarse-graining of multi-sector default count data generates effective correlation matrices and rank copulas.
Improves scalability and robustness of dynamic graph clustering.
This paper reviews methods for discovering patient subgroups from EHR data.
Paper proposes a new method for sparse covariance Cholesky factor estimation.
We introduce a probabilistic generative model for disentangling spatio-temporal disease trajectories from series of high-dimensional brain images. The model is based on spatio-temporal matrix factorization, where inference on the sources is constrained by anatomically plausible statistical priors. To model realistic tr…
New model captures patient-level EHR data efficiently.
Develops polynomial diffusion models for multi-factor commodity futures dynamics.
Grid security and open markets are two major smart grid goals. Transparency of market data facilitates a competitive and efficient energy environment, yet it may also reveal critical physical system information. Recovering the grid topology based solely on publicly available market data is explored here. Real-time ener…
Newsroom in online ecosystem is difficult to untangle. With prevalence of social media, interactions between journalists and individuals become visible, but lack of understanding to inner processing of information feedback loop in public sphere leave most journalists baffled. Can we provide an organized view to charact…
Variant of mSSA improves time series prediction error.
Our article considers a Gaussian variational approximation of the posterior density in a high-dimensional state space model. The variational parameters to be optimized are the mean vector and the covariance matrix of the approximation. The number of parameters in the covariance matrix grows as the square of the number …
This paper models default data to capture dynamic dependence across sectors.
Nonnegative matrix factorization (NMF) has been actively investigated and used in a wide range of problems in the past decade. A significant amount of attention has been given to develop NMF algorithms that are suitable to model time series with strong temporal dependencies. In this paper, we propose a novel state-spac…
New model predicts financial connectedness via COVID-19 spread.
We present our solution to the job recommendation task for RecSys Challenge 2016. The main contribution of our work is to combine temporal learning with sequence modeling to capture complex user-item activity patterns to improve job recommendations. First, we propose a time-based ranking model applied to historical obs…
DMSTF models spatio-temporal data with deep Markov priors.
TATD predicts missing entries in time-evolving tensors by exploiting temporal dependency and sparsity.
Large-scale and multidimensional spatiotemporal data sets are becoming ubiquitous in many real-world applications such as monitoring urban traffic and air quality. Making predictions on these time series has become a critical challenge due to not only the large-scale and high-dimensional nature but also the considerabl…
Neuronal circuits formed in the brain are complex with intricate connection patterns. Such complexity is also observed in the retina as a relatively simple neuronal circuit. A retinal ganglion cell receives excitatory inputs from neurons in previous layers as driving forces to fire spikes. Analytical methods are requir…
Low-rank matrix factorizations arise in a wide variety of applications -- including recommendation systems, topic models, and source separation, to name just a few. In these and many other applications, it has been widely noted that by incorporating temporal information and allowing for the possibility of time-varying …
SG-NTF completes HDI tensors with spectral mapping and spatio-temporal gating.
Study on eigenvalue distribution of correlated time series deforming the semi-circle law.
FactorGCL uses hypergraph learning to predict stock returns by mining hidden factors.
Spatio-temporal data compression method reduces memory usage.
This paper introduces the factorial marked temporal point process model and presents efficient learning methods. In conventional (multi-dimensional) marked temporal point process models, event is often encoded by a single discrete variable i.e. a marker. In this paper, we describe the factorial marked point processes w…
Probabilistic Temporal Tensor Factorization (PTTF) is an effective algorithm to model the temporal tensor data. It leverages a time constraint to capture the evolving properties of tensor data. Nowadays the exploding dataset demands a large scale PTTF analysis, and a parallel solution is critical to accommodate the tre…
Proposes a new tensor decomposition method for functional temporal data with adaptive complexity.
New method for hyperparameter tuning in sparse matrix factorization.
Study on eigenvalue distribution of correlated time series, showing deformation of Marchenko-Pastur distribution.
Paper proposes AI for stock market forecasting using external knowledge.