2024
Deep Functional Factor Models: Forecasting High-Dimensional Functional Time Series via Bayesian Nonparametric Factorization
ICML 2024poster
This paper introduces the Deep Functional Factor Model (DF2M), a Bayesian nonparametric model designed for analysis of high-dimensional functional time series. DF2M is built upon the Indian Buffet Process and the multi-task Gaussian Process, incorporating a deep kernel function that captures non-Mar…