TACTiS-2: Better, Faster, Simpler Attentional Copulas for Multivariate Time Series

Published: 16 Jan 2024, Last Modified: 16 Mar 2024ICLR 2024 posterEveryoneRevisionsBibTeX
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Keywords: time series, forecasting, probabilistic, multivariate, copula, transformer, density estimation
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TL;DR: A flexible model for multivariate probabilistic time series prediction, simplifying the training of attentional copulas, with state-of-the-art accuracy on diverse forecasting tasks, while supporting interpolation and learning from irregular data.
Abstract: We introduce a new model for multivariate probabilistic time series prediction, designed to flexibly address a range of tasks including forecasting, interpolation, and their combinations. Building on copula theory, we propose a simplified objective for the recently-introduced transformer-based attentional copulas (TACTiS), wherein the number of distributional parameters now scales linearly with the number of variables instead of factorially. The new objective requires the introduction of a training curriculum, which goes hand-in-hand with necessary changes to the original architecture. We show that the resulting model has significantly better training dynamics and achieves state-of-the-art performance across diverse real-world forecasting tasks, while maintaining the flexibility of prior work, such as seamless handling of unaligned and unevenly-sampled time series. Code is made available at https://github.com/ServiceNow/TACTiS.
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Primary Area: probabilistic methods (Bayesian methods, variational inference, sampling, UQ, etc.)
Submission Number: 6303