SrVARM: State Regularized Vector Autoregressive Model for Joint Learning of Hidden State Transitions and State-Dependent Inter-Variable Dependencies from Multi-variate Time Series

Tsung-Yu Hsieh, Yiwei Sun, Xianfeng Tang, Suhang Wang, Vasant G. Honavar. SrVARM: State Regularized Vector Autoregressive Model for Joint Learning of Hidden State Transitions and State-Dependent Inter-Variable Dependencies from Multi-variate Time Series. In Jure Leskovec, Marko Grobelnik, Marc Najork, Jie Tang 0001, Leila Zia, editors, WWW '21: The Web Conference 2021, Virtual Event / Ljubljana, Slovenia, April 19-23, 2021. pages 2270-2280, ACM / IW3C2, 2021. [doi]

Abstract

Abstract is missing.