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Theory and Algorithms for Forecasting Non-Stationary Time Series
Vitaly Kuznetsov · Mehryar Mohri

Mon Dec 05 02:00 AM -- 04:00 AM (PST) @ Rooms 211 + 212

Time series appear in a variety of key real-world applications such as signal processing, including audio and video processing; the analysis of natural phenomena such as local weather, global temperature, and earthquakes; the study of economic variables such as stock values, sales amounts, energy demand; and many other areas. But, while time series forecasting is critical for many applications, it has received little attention in the ML community in recent years, probably due to a lack of familiarity with time series and the fact that standard i.i.d. learning concepts and tools are not readily applicable in that scenario.

This tutorial precisely addresses these and many other related questions. It provides theoretical and algorithmic tools for research related to time series and for designing new solutions. We first present a concise introduction to time series, including basic concepts, common challenges and standard models. Next, we discuss important statistical learning tools and results developed in recent years and show how they are useful for deriving guarantees and designing algorithms both in stationary and non-stationary scenarios. Finally, we show how the online learning framework can be leveraged to derive algorithms that tackle important and notoriously difficult problems including model selection and ensemble methods.

Learning objectives: a. familiarization with basic time series concepts b. introduction to statistical learning theory and algorithms for stationary and non-stationary time series c. introduction to model selection and ensemble methods for time series via online learning

Target audience: This tutorial is targeted for a very general ML audience and should be accessible to most machine learning researchers and practitioners. We will introduce all the necessary tools from scratch and of course make slides and other detailed tutorial documents available.

Author Information

Vitaly Kuznetsov (HRT)

Vitaly Kuznetsov is a research scientist at Google. Prior to joining Google Research, Vitaly received his Ph.D. in mathematics from the Courant Institute of Mathematical Sciences at New York University. Vitaly has contributed to a number of different areas in machine learning, in particular the development of the theory and algorithms for forecasting non-stationary time series. At Google, his work is focused on the design and implementation of large-scale machine learning tools and algorithms for time series modeling, forecasting and anomaly detection. His current research interests include all aspects of applied and theoretical time series analysis, in particular, in non-stationary environments.

Mehryar Mohri (Courant Institute and Google)

Mehryar Mohri is a Professor of Computer Science and Mathematics at the Courant Institute of Mathematical Sciences and a Research Consultant at Google. Prior to these positions, he spent about ten years at AT&T Bell Labs, later AT&T Labs-Research, where he served for several years as a Department Head and a Technology Leader. His research interests cover a number of different areas: primarily machine learning, algorithms and theory, automata theory, speech processing, natural language processing, and also computational biology. His research in learning theory and algorithms has been used in a variety of applications. His work on automata theory and algorithms has served as the foundation for several applications in language processing, with several of his algorithms used in virtually all spoken-dialog and speech recognitions systems used in the United States. He has co-authored several software libraries widely used in research and academic labs. He is also co-author of the machine learning textbook Foundations of Machine Learning used in graduate courses on machine learning in several universities and corporate research laboratories.

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