3 ms·

Higher-order organization of multivariate time series

80 points by Anon84 4y ago

hackandthink 4y ago
(Papers are pretty nowadays) Scalable High-Order Gaussian Process Regression https://proceedings.mlr.press/v89/zhe19a.html https://proceedings.mlr.press/v89/zhe19a.html
- hatmatrix 4y ago
  How is this related?
  - hackandthink 4y ago
    I'm not sure, my intuition might be wrong. I looked into this paper and expected Gaussian processes with complex kernel functions. Giovanni Petri (author of paper here): https://twitter.com/lordgrilo/status/1506294750621716482 https://twitter.com/lordgrilo/status/1506294750621716482 -> Networks beyond pairwise interactions: Structure and dynamics https://reader.elsevier.com/reader/sd/pii/S0370157320302489?token=E6153905A02904EA9B81338CEB6F15CC7C4622EE2161CE6CE95FD32C7A4A0C38AD8E205A4D682CD35EB77779CB4BE405&originRegion=eu-west-1&originCreation=20230103102248 https://reader.elsevier.com/reader/sd/pii/S0370157320302489?... -> Multiscale Information Decomposition: Exact Computation for Multivariate Gaussian Processes https://www.mdpi.com/1099-4300/19/8/408 https://www.mdpi.com/1099-4300/19/8/408
hackandthink 4y ago
Unveiling the higher-order organization of multivariate time series: https://arxiv.org/abs/2203.10702 https://arxiv.org/abs/2203.10702
- dang 4y ago
  Ok, since https://www.nature.com/articles/s41567-022-01852-0 https://www.nature.com/articles/s41567-022-01852-0 is hardwalled and that arxiv.org post has the same authors and almost the same title, I'm going to call it close enough and replace the URL above. Thanks! If there's a better URL that people can openly read, we can change it again.
  - malshe 4y ago
    This link will allow people to read it in the browser without subscription: https://rdcu.be/c2DJE https://rdcu.be/c2DJE Edit: Please let me know if it doesn't work
deathhand 4y ago
It took us a long time to figure out 0. This idea of multivariate time series is "tacit knowledge" and once we get good at modeling it we will never look back. As a laymen this is the most accessible I've seen these concepts. And speaking for neurology methodology for time series tests subtraction sucks! https://www.researchgate.net/publication/12369885_How_to_Avoid_the_Fallacies_of_Cognitive_Subtraction_in_Brain_Imaging https://www.researchgate.net/publication/12369885_How_to_Avo...
- dang 4y ago
  Can you say more? What's "0" in this context?* and can you explain what the idea here is and why it's useful? I think quite a few readers would be curious. (* I ask because I can't find anthing labeled 0 - but I may have messed up the URL - see https://news.ycombinator.com/item?id=34223587 https://news.ycombinator.com/item?id=34223587)
  - deathhand 4y ago
    I mean zero as in the nothing sense. We had trade and society before we had way to mathematically describe nothing. The history is diverse and interesting: https://en.m.wikipedia.org/wiki/0 https://en.m.wikipedia.org/wiki/0
    - pvg 4y ago
      before we had [a] way to mathematically describe nothing. This seems a little overstated since positional number systems are fairly sophisticated mathematics - you can deal with 'nothing' without needing zero in its modern sense.
      - vanderZwan 4y ago
        You can even have positional number systems without zero - that's what the Babylonians had
Gatsky 4y ago
Old explainer thread on twitter from one of the authors: https://twitter.com/lordgrilo/status/1506294750621716482 https://twitter.com/lordgrilo/status/1506294750621716482
- svnt 4y ago
  He mentions a lot of recent similar efforts. One thing I don’t see is Martin Zwick’s continuation of reconstructability analysis / discrete multivariate modeling. e.g. https://pdxscholar.library.pdx.edu/sysc_fac/22/ https://pdxscholar.library.pdx.edu/sysc_fac/22/ > RA was derived from Ashby (1964), and was developed by Broekstra, Cavallo, Cellier Conant, Jones, Klir, Krippendorff, and others (Klir, 1986, 1996).
aatd86 4y ago
So I guess if telepathy is possible, there should be a Higher Order indication for people who share a link huh? And yes, in finance, the correlations between asset classes shoot up toward 1 in periods of crisis (black swan event) . Hence, the research for tail-hedging strategies...
- floober 4y ago
  > And yes, in finance, the correlations between asset classes shoot up toward 1 in periods of crisis (black swan event) . Hence, the research for tail-hedging strategies... Related to what you said here, I was surprised there wasn't a comparison with Vine Copulas in the paper or thread! But this is pretty far outside of my realm of expertise, so maybe it shouldn't be surprising.
deleted 4y ago
[deleted]

80 points by Anon84 4y ago

(Papers are pretty nowadays) Scalable High-Order Gaussian Process Regression https://proceedings.mlr.press/v89/zhe19a.html https://proceedings.mlr.press/v89/zhe19a.html

hatmatrix 4y ago
How is this related?
- hackandthink 4y ago
  I'm not sure, my intuition might be wrong. I looked into this paper and expected Gaussian processes with complex kernel functions. Giovanni Petri (author of paper here): https://twitter.com/lordgrilo/status/1506294750621716482 https://twitter.com/lordgrilo/status/1506294750621716482 -> Networks beyond pairwise interactions: Structure and dynamics https://reader.elsevier.com/reader/sd/pii/S0370157320302489?token=E6153905A02904EA9B81338CEB6F15CC7C4622EE2161CE6CE95FD32C7A4A0C38AD8E205A4D682CD35EB77779CB4BE405&originRegion=eu-west-1&originCreation=20230103102248 https://reader.elsevier.com/reader/sd/pii/S0370157320302489?... -> Multiscale Information Decomposition: Exact Computation for Multivariate Gaussian Processes https://www.mdpi.com/1099-4300/19/8/408 https://www.mdpi.com/1099-4300/19/8/408

hackandthink 4y ago

Unveiling the higher-order organization of multivariate time series: https://arxiv.org/abs/2203.10702 https://arxiv.org/abs/2203.10702

dang 4y ago
Ok, since https://www.nature.com/articles/s41567-022-01852-0 https://www.nature.com/articles/s41567-022-01852-0 is hardwalled and that arxiv.org post has the same authors and almost the same title, I'm going to call it close enough and replace the URL above. Thanks! If there's a better URL that people can openly read, we can change it again.
- malshe 4y ago
  This link will allow people to read it in the browser without subscription: https://rdcu.be/c2DJE https://rdcu.be/c2DJE Edit: Please let me know if it doesn't work

deathhand 4y ago

It took us a long time to figure out 0. This idea of multivariate time series is "tacit knowledge" and once we get good at modeling it we will never look back. As a laymen this is the most accessible I've seen these concepts. And speaking for neurology methodology for time series tests subtraction sucks! https://www.researchgate.net/publication/12369885_How_to_Avoid_the_Fallacies_of_Cognitive_Subtraction_in_Brain_Imaging https://www.researchgate.net/publication/12369885_How_to_Avo...

dang 4y ago
Can you say more? What's "0" in this context?* and can you explain what the idea here is and why it's useful? I think quite a few readers would be curious. (* I ask because I can't find anthing labeled 0 - but I may have messed up the URL - see https://news.ycombinator.com/item?id=34223587 https://news.ycombinator.com/item?id=34223587)
- deathhand 4y ago
  I mean zero as in the nothing sense. We had trade and society before we had way to mathematically describe nothing. The history is diverse and interesting: https://en.m.wikipedia.org/wiki/0 https://en.m.wikipedia.org/wiki/0
  - pvg 4y ago
    before we had [a] way to mathematically describe nothing. This seems a little overstated since positional number systems are fairly sophisticated mathematics - you can deal with 'nothing' without needing zero in its modern sense.
    - vanderZwan 4y ago
      You can even have positional number systems without zero - that's what the Babylonians had

Gatsky 4y ago

Old explainer thread on twitter from one of the authors: https://twitter.com/lordgrilo/status/1506294750621716482 https://twitter.com/lordgrilo/status/1506294750621716482

svnt 4y ago
He mentions a lot of recent similar efforts. One thing I don’t see is Martin Zwick’s continuation of reconstructability analysis / discrete multivariate modeling. e.g. https://pdxscholar.library.pdx.edu/sysc_fac/22/ https://pdxscholar.library.pdx.edu/sysc_fac/22/ > RA was derived from Ashby (1964), and was developed by Broekstra, Cavallo, Cellier Conant, Jones, Klir, Krippendorff, and others (Klir, 1986, 1996).

aatd86 4y ago

So I guess if telepathy is possible, there should be a Higher Order indication for people who share a link huh? And yes, in finance, the correlations between asset classes shoot up toward 1 in periods of crisis (black swan event) . Hence, the research for tail-hedging strategies...

floober 4y ago
> And yes, in finance, the correlations between asset classes shoot up toward 1 in periods of crisis (black swan event) . Hence, the research for tail-hedging strategies... Related to what you said here, I was surprised there wasn't a comparison with Vine Copulas in the paper or thread! But this is pretty far outside of my realm of expertise, so maybe it shouldn't be surprising.

deleted 4y ago

[deleted]