Automatic Generation of Probabilistic Programming from Time Series Data

07/04/2016
by   Anh Tong, et al.
0

Probabilistic programming languages represent complex data with intermingled models in a few lines of code. Efficient inference algorithms in probabilistic programming languages make possible to build unified frameworks to compute interesting probabilities of various large, real-world problems. When the structure of model is given, constructing a probabilistic program is rather straightforward. Thus, main focus have been to learn the best model parameters and compute marginal probabilities. In this paper, we provide a new perspective to build expressive probabilistic program from continue time series data when the structure of model is not given. The intuition behind of our method is to find a descriptive covariance structure of time series data in nonparametric Gaussian process regression. We report that such descriptive covariance structure efficiently derives a probabilistic programming description accurately.

READ FULL TEXT

page 1

page 2

page 3

page 4

research
11/21/2016

Probabilistic structure discovery in time series data

Existing methods for structure discovery in time series data construct i...
research
07/14/2019

Bayesian Synthesis of Probabilistic Programs for Automatic Data Modeling

We present new techniques for automatically constructing probabilistic p...
research
06/30/2016

Swift: Compiled Inference for Probabilistic Programming Languages

A probabilistic program defines a probability measure over its semantic ...
research
04/18/2020

Orbit: Probabilistic Forecast with Exponential Smoothing

Time series forecasting is an active research topic in academia as well ...
research
04/14/2020

Oversampling for Imbalanced Time Series Data

Many important real-world applications involve time-series data with ske...
research
08/18/2022

Network inference via process motifs for lagged correlation in linear stochastic processes

A major challenge for causal inference from time-series data is the trad...
research
03/15/2018

Capturing Structure Implicitly from Time-Series having Limited Data

Scientific fields such as insider-threat detection and highway-safety pl...

Please sign up or login with your details

Forgot password? Click here to reset