Deep Convolutional Factor Analyser for Multivariate Time Series Modeling
Deep generative models can perform dramatically better than traditional graphical models in a number of machine learning tasks. However, training such models remains challenging because their latent variables typically do not have an analytical posterior distribution, largely due to the nonlinear activation nodes. We present a deep convolutional factor analyser (DCFA) for multivariate time series modeling. Our network is constructed in a way that bottom layer nodes are independent. Through a process of up sampling and convolution, higher layer nodes gain more temporal dependency. Our model can thus give a time series different representations at different depths. DCFA only consists of linear Gaussian nodes. Therefore, the posterior distributions of latent variables are also Gaussian and can be estimated easily using standard variational Bayes algorithm. We show that even without nonlinearity the proposed deep model can achieve state of the art results in anomaly detection, classification and clustering using both synthetic and real world datasets.
2016 IEEE 16th International Conference on Data Mining (ICDM)