Research map / Time series / Causal and generative time series
Normalizing Kalman Filters for Multivariate Time Series Analysis
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Measured effects reported in the paper
| What was changed | Where | Measured | Effect |
|---|---|---|---|
| add global normalizing flow (vs identity, i.e. DeepState) (ablation) | NKF · solar | CRPS-Sum-N: 0.415 -> 0.320 | Helped |
| add global normalizing flow (vs identity, i.e. DeepState) (ablation) | NKF · elec | CRPS-Sum-N: 0.026 -> 0.016 | Helped |
| add global normalizing flow (vs identity, i.e. DeepState) (ablation) | NKF · wiki | CRPS-Sum-N: 0.082 -> 0.071 | Helped |
| add global normalizing flow (vs identity, i.e. DeepState) (ablation) | NKF · traffic | CRPS-Sum-N: 0.123 -> 0.10 | Helped |
| add global normalizing flow (vs identity, i.e. DeepState) (ablation) | NKF · exchange | CRPS-Sum-N: 0.005 -> 0.005 | No clear effect |
| use global flow instead of local per-series flow (ablation) | NKF · solar | CRPS-Sum-N: 0.405 -> 0.320 | Helped |
| use global flow instead of local per-series flow (ablation) | NKF · elec | CRPS-Sum-N: 0.018 -> 0.016 | Helped |
| use global flow instead of local per-series flow (ablation) | NKF · wiki | CRPS-Sum-N: 0.068 -> 0.071 | Hurt |
| use global flow instead of local per-series flow (ablation) | NKF · traffic | CRPS-Sum-N: 0.102 -> 0.10 | Helped |
| increase fraction of missing training and input data from 0% to 90% | NKF · elec | CRPS-Sum-N | Mixed |
Closest papers by meaning
- Deep State Space Models for Time Series Forecasting (NeurIPS 2018 · similarity 0.91)
- SIN: Selective and Interpretable Normalization for Long-Term Time Series Forecasting (ICML 2024 · similarity 0.87)
- Probabilistic Forecasting of Irregularly Sampled Time Series with Missing Values via Conditional Normalizing Flows (AAAI 2025 · similarity 0.86)
- From Generalization Analysis to Optimization Designs for State Space Models (ICML 2024 · similarity 0.86)
- Chimera: Effectively Modeling Multivariate Time Series with 2-Dimensional State Space Models (NeurIPS 2024 · similarity 0.85)
- Multivariate Probabilistic Time Series Forecasting with Correlated Errors (NeurIPS 2024 · similarity 0.85)
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