[ICML 2019] Day 5 - Workshop Time Series

These are works of interest to keep an eye on:

  • Yulia Gel, Change Point Detection in Time Series through the Lens of Topological Data Analysis

  • Ruofeng Wen and Kari Torkkola. Deep Generative Quantile-Copula Models for Probabilistic Forecasting and Simulation

Deep Generative Quantile Copula Models - I like the sound of that!

  • Zihao Zhang, Stefan Zohren and Stephen Roberts. Extending Deep Learning Models for Limit Order Books to Quantile Regression

Another deep learning quantile regression, for limit order books

  • Alexander Alexandrov, Konstantinos Benidis, Michael Bohlke-Schneider, Valentin Flunkert, Jan Gasthaus, Tim Januschowski, Danielle Maddix, Syama Rangapuram, David Salinas, Jasper Schulz, Lorenzo Stella, Ali Caner Türkmen and Yuyang Wang. Neural time series models with GluonTS

GluonTS packages

Few lines of code for creating, training, and evaluating a time series model