2024/11/01 by Yousef El-Laham, El-Laham, Yousef, Zhongchang Sun +7 · 1 citation
Computer Science · #FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Neural Networks and Applications
paper · pdf · doi:10.48550/arxiv.2411.00635
openalex publication_date 2024/11/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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 procedure based on the variational autoencoder (VAE) framework for modeling time-series as a neural SDE. Unlike existing algorithms training neural SDEs as VAEs, our proposed algorithm only necessitates a Gaussian prior of the initial state of the latent stochastic process, rather than a Wiener process prior on the entire latent stochastic process. We develop two methodologies for modeling and estimating change points in time-series data with distribution shifts. Our iterative algorithm alternates between updating neural SDE parameters and updating the change points based on either a maximum likelihood-based approach or a change point detection algorithm using the sequential likelihood ratio test. We provide a theoretical analysis of this proposed change point detection scheme. Finally, we present an empirical evaluation that demonstrates the expressive power of our proposed model, showing that it can effectively model both classical parametric SDEs and some real datasets with distribution shifts.