2 papers
cs.LG2024
Variational Neural Stochastic Differential Equations with Change Points
Yousef El-Laham, Zhongchang Sun, Haibei Zhu +2
In this work, we explore modeling change points in time-series data using neural stochastic differential equations (neural SDEs). We propose a novel model formulation and training…
cs.LG2024
Neural Stochastic Differential Equations with Change Points: A Generative Adversarial Approach
Zhongchang Sun, Yousef El-Laham, Svitlana Vyetrenko
Stochastic differential equations (SDEs) have been widely used to model real world random phenomena. Existing works mainly focus on the case where the time series is modeled by a s…