Modeling Multivariate Time Series in Economics: From Auto-Regressions to Recurrent Neural Networks

2020 ◽  
Author(s):  
Sergiy Verstyuk
Keyword(s):  
Neural Networks ◽  
Time Series ◽  
Recurrent Neural Networks ◽  
Multivariate Time Series

scholarly journals Recurrent Neural Networks for Multivariate Time Series with Missing Values

2018 ◽  
Vol 8 (1) ◽  
Author(s):  
Zhengping Che ◽  
Sanjay Purushotham ◽  
Kyunghyun Cho ◽  
David Sontag ◽  
Yan Liu
Keyword(s):  
Neural Networks ◽  
Time Series ◽  
Recurrent Neural Networks ◽  
Missing Values ◽  
Multivariate Time Series

scholarly journals Predicting Remaining Useful Life using Time Series Embeddings based on Recurrent Neural Networks

2020 ◽  
Vol 9 (1) ◽  
Author(s):  
Narendhar Gugulothu ◽  
Vishnu TV ◽  
Pankaj Malhotra ◽  
Lovekesh Vig ◽  
Puneet Agarwal ◽  
...  
Keyword(s):  
Neural Networks ◽  
Time Series ◽  
Recurrent Neural Networks ◽  
Missing Values ◽  
Multivariate Time Series ◽  
Remaining Useful Life ◽  
Sensor Data ◽  
Novel Approach ◽  
Useful Life ◽  
Robust To Noise

We consider the problem of estimating the remaining useful life (RUL) of a system or a machine from sensor data. Many approaches for RUL estimation based on sensor data make assumptions about how machines degrade. Additionally, sensor data from machines is noisy and often suffers from missing values in many practical settings. We propose Embed-RUL: a novel approach for RUL estimation from sensor data that does not rely on any degradation-trend assumptions, is robust to noise, and handles missing values. Embed-RUL utilizes a sequence-to-sequence model based on Recurrent Neural Networks (RNNs) to generate embeddings for multivariate time series subsequences. The embeddings for normal and degraded machines tend to be different, and are therefore found to be useful for RUL estimation. We show that the embeddings capture the overall pattern in the time series while filtering out the noise, so that the embeddings of two machines with similar operational behavior are close to each other, even when their sensor readings have significant and varying levels of noise content. We perform experiments on publicly available turbofan engine dataset and a proprietary real-world dataset, and demonstrate that Embed-RUL outperforms the previously reported state-of-the-art (Malhotra, TV, et al., 2016) on several metrics.

A review of irregular time series data handling with gated recurrent neural networks

2021 ◽  
Vol 441 ◽  
pp. 161-178
Author(s):  
Philip B. Weerakody ◽  
Kok Wai Wong ◽  
Guanjin Wang ◽  
Wendell Ela
Keyword(s):  
Neural Networks ◽  
Time Series ◽  
Recurrent Neural Networks ◽  
Time Series Data ◽  
Series Data ◽  
Data Handling
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