Modeling Regime Shifts in Multiple Time Series. (arXiv:2109.09692v3 [cs.LG] UPDATED)

Web: http://arxiv.org/abs/2109.09692

We investigate the problem of discovering and modeling regime shifts in an
ecosystem comprising multiple time series known as co-evolving time series.
Regime shifts refer to the changing behaviors exhibited by series at different
time intervals. Learning these changing behaviors is a key step toward time
series forecasting. While advances have been made, existing methods suffer from
one or more of the following shortcomings: (1) failure to take relationships
between time series into consideration for discovering regimes in multiple time …

arxiv modeling time time series