Newsroom

Time Series Forecasting

  • FDS Colloquium: Josh Alman (Columbia), “Algorithms and Hardness for Kernel Density Estimation and Attention”

    Webcast Link (via Zoom – starts at 12:00): https://yale.zoom.us/s/7859884026 “Algorithms and Hardness for Kernel Density Estimation and Attention” Abstract: This talk will focus on two related computational problems. The first is Kernel Density Estimation, a statistical task which has diverse applications from machine learning to computational physics. The second is Attention, the task at the core…

  • FDS Colloquium: David Matteson (Cornell), “Drift vs Shift: Decoupling Trends and Changepoint Analysis”

    Webcast Link (via Zoom – starts at 12:00): https://yale.zoom.us/s/7859884026 Abstract: We introduce a new approach for decoupling trends (drift) and changepoints (shifts) in time series. Our locally adaptive model-based approach for robustly decoupling combines Bayesian trend filtering and machine learning based regularization. An over-parameterized Bayesian dynamic linear model (DLM) is first applied to characterize drift.…