Dynamic Gaussian Mixture based Deep Generative Model For Robust Forecasting on Sparse Multivariate Time Series.
Yinjun WuJingchao NiWei ChengBo ZongDongjin SongZhengzhang ChenYanchi LiuXuchao ZhangHaifeng ChenSusan B. DavidsonPublished in: CoRR (2021)
Keyphrases
- generative model
- gaussian mixture
- em algorithm
- multivariate time series
- mixture model
- expectation maximization
- probabilistic model
- gaussian mixture model
- bayesian framework
- probability density function
- density estimation
- parameter estimation
- prior knowledge
- maximum likelihood
- closed form
- conditional random fields
- categorical data
- latent dirichlet allocation
- higher order
- covariance matrix
- high dimensional
- multiscale
- temporal data
- dimension reduction
- maximum a posteriori
- training data