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Unsupervised learning seeks to uncover patterns in data. However, different kinds of noise may impede the discovery of useful substructure from real-world time-series data. In this work, we focus on mitigating the interference of left-censorship in the task of clustering. We provide conditions under which clusters and left-censorship may be identified; motivated by this result, we develop a deep generative, continuous-time model of time-series data that clusters while correcting for censorship time. We demonstrate accurate, stable, and interpretable results on synthetic data that outperform several benchmarks. To showcase the utility of our framework on real-world problems, we study how left-censorship can adversely affect the task of disease phenotyping, resulting in the often incorrect assumption that longitudinal patient data are aligned by disease stage. In reality, patients at the time of diagnosis are at different stages of the disease -- both late and early due to differences in when patients seek medical care and such discrepancy can confound unsupervised learning algorithms. On two clinical datasets, our model corrects for this form of censorship and recovers known clinical subtypes.
Complex data structures such as time series are increasingly present in modern data science problems. A fundamental question is whether two such time-series are statistically dependent. Many current approaches make parametric assumptions on the rando
In this paper, we propose the multivariate quantile Bayesian structural time series (MQBSTS) model for the joint quantile time series forecast, which is the first such model for correlated multivariate time series to the authors best knowledge. The M
Multivariate time series are routinely encountered in real-world applications, and in many cases, these time series are strongly correlated. In this paper, we present a deep learning structural time series model which can (i) handle correlated multiv
This paper deals with inference and prediction for multiple correlated time series, where one has also the choice of using a candidate pool of contemporaneous predictors for each target series. Starting with a structural model for the time-series, Ba
This paper presents a novel time series clustering method, the self-organising eigenspace map (SOEM), based on a generalisation of the well-known self-organising feature map (SOFM). The SOEM operates on the eigenspaces of the embedded covariance stru