High-Dimensional Multivariate Forecasting with Low-Rank Gaussian Copula Processes

2 code implementations • NeurIPS 2019 • David Salinas, Michael Bohlke-Schneider, Laurent Callot, Roberto Medico, Jan Gasthaus

Predicting the dependencies between observations from multiple time series is critical for applications such as anomaly detection, financial risk management, causal analysis, or demand forecasting.

Anomaly Detection Management +3