Kernel Representation Learning with Dynamic Regime Discovery for Time Series Forecasting

Kunpeng Xu, Lifei Chen, Jean-Marc Patenaude, Shengrui Wang

Abstract: Correlations between variables in complex ecosystems such as weather and financial markets lead to a great amount of dynamic and co-evolving time series data, posing a significant challenge to the current forecast methods. Discovering dynamic patterns (aka regimes) is crucial to an accurate forecast, especially for the interpretability of the outcome. In this paper, we develop a kernel-based method to learn effective representations for capturing dynamically changing regimes. Each such representation accounts for the non-linear interactions among multiple time series, thereby facilitating more effective regime discovery. On the basis of regime information, we build a regression model to forecast all the variables simultaneously for the next multiple time points. The results on six real-life datasets demonstrate that our method can yield the most accurate forecast (with the lowest root mean square error) in comparison with seven predictive models.