Dynamic Copula Networks for Modeling Real-valued Time Series

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Elad Eban, Gideon Rothschild, Adi Mizrahi, Israel Nelken, Gal Elidan ;
Proceedings of the Sixteenth International Conference on Artificial Intelligence and Statistics, PMLR 31:247-255, 2013.

Abstract

Probabilistic modeling of temporal phenomena is of central importance in a variety of fields ranging from neuroscience to economics to speech recognition. While the task has received extensive attention in recent decades, learning temporal models for multivariate real-valued data that is non-Gaussian is still a formidable challenge. Recently, the power of copulas, a framework for representing complex multi-modal and heavy-tailed distributions, was fused with the formalism of Bayesian networks to allow for flexible modeling of high-dimensional distributions. In this work we introduce Dynamic Copula Bayesian Networks, a generalization aimed at capturing the distribution of rich temporal sequences. We apply our model to three markedly different real-life domains and demonstrate substantial quantitative and qualitative advantage.

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