Computing devices, computer implementations, and computer-readable storage media for multivariate time series modeling and prediction (stochastic non-linear relationships and external factors across multiple time series for improved multivariate time series modeling and prediction)

摘要

PROBLEM TO BE SOLVED: To provide a computing device, a computer mounting method and a computer readable storage medium for multivariate time series modeling and prediction. A computer-implemented method of time-series modeling and prediction 600 encodes a plurality of inputs of time-series data 605, maps the encoded multivariate time-series data to a low-dimensional latent space, and maps the encoded multivariate time-series data to a low-dimensional latent space 610. Predict the next time value of the coded multivariate time series data in space 615, the predicted next value and random noise are mapped back to the input space, the predicted distribution of the next time point of the multivariate time series data 620 provides a sample and outputs one or more of the time series predictions based on the predicted distribution sample 625. [Selection diagram] FIG. 6