Invariant Subspace Decomposition

arXiv:2404.09962v1 Announce Type: cross
Abstract: We consider the task of predicting a response Y from a set of covariates X in settings where the conditional distribution of Y given X changes over time. For this to be feasible, assumptions on how the conditional distribution changes over time are required. Existing approaches assume, for example, that changes occur smoothly over time so that short-term prediction using only the recent past becomes feasible. In this work, we propose a novel invariance-based framework …

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