Abstract
We introduce and analyze Discriminative State-Space Models for forecasting non-stationary time series. We provide data-dependent generalization guarantees for learning these models based on the recently introduced notion of discrepancy. We provide an in-depth analysis of the complexity of such models. We also study the generalization guarantees for several structural risk minimization approaches to this problem and provide an efficient implementation for one of them which is based on a convex objective.
Original language | English (US) |
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Pages (from-to) | 5672-5680 |
Number of pages | 9 |
Journal | Advances in Neural Information Processing Systems |
Volume | 2017-December |
State | Published - 2017 |
Event | 31st Annual Conference on Neural Information Processing Systems, NIPS 2017 - Long Beach, United States Duration: Dec 4 2017 → Dec 9 2017 |
ASJC Scopus subject areas
- Computer Networks and Communications
- Information Systems
- Signal Processing