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Deep Functional Factor Models: Forecasting High-Dimensional Functional Time Series via Bayesian Nonparametric Factorization

arXiv 2305.14543 ↗First posted 23 May 2023stat.ML cs.LGcited by 0

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Abstract (arXiv)

This paper introduces the Deep Functional Factor Model (DF2M), a Bayesian nonparametric model designed for analysis of high-dimensional functional time series. DF2M is built upon the Indian Buffet Process and the multi-task Gaussian Process, incorporating a deep kernel function that captures non-Markovian and nonlinear temporal dynamics. Unlike many black-box deep learning models, DF2M offers an explainable approach to utilizing neural networks by constructing a factor model and integrating deep neural networks within the kernel function. Additionally, we develop a computationally efficient variational inference algorithm to infer DF2M. Empirical results from four real-world datasets demonstrate that DF2M provides better explainability and superior predictive accuracy compared to conventional deep learning models for high-dimensional functional time series.

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References · 21

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9 more
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