Modeling Multivariate Time Series in Economics: From Auto-Regressions to Recurrent Neural Networks

2020 ◽  
Author(s):  
Sergiy Verstyuk
2018 ◽  
Vol 8 (1) ◽  
Author(s):  
Zhengping Che ◽  
Sanjay Purushotham ◽  
Kyunghyun Cho ◽  
David Sontag ◽  
Yan Liu

Author(s):  
Narendhar Gugulothu ◽  
Vishnu TV ◽  
Pankaj Malhotra ◽  
Lovekesh Vig ◽  
Puneet Agarwal ◽  
...  

We consider the problem of estimating the remaining useful life (RUL) of a system or a machine from sensor data. Many approaches for RUL estimation based on sensor data make assumptions about how machines degrade. Additionally, sensor data from machines is noisy and often suffers from missing values in many practical settings. We propose Embed-RUL: a novel approach for RUL estimation from sensor data that does not rely on any degradation-trend assumptions, is robust to noise, and handles missing values. Embed-RUL utilizes a sequence-to-sequence model based on Recurrent Neural Networks (RNNs) to generate embeddings for multivariate time series subsequences. The embeddings for normal and degraded machines tend to be different, and are therefore found to be useful for RUL estimation. We show that the embeddings capture the overall pattern in the time series while filtering out the noise, so that the embeddings of two machines with similar operational behavior are close to each other, even when their sensor readings have significant and varying levels of noise content. We perform experiments on publicly available turbofan engine dataset and a proprietary real-world dataset, and demonstrate that Embed-RUL outperforms the previously reported state-of-the-art (Malhotra, TV, et al., 2016) on several metrics.


2021 ◽  
Vol 441 ◽  
pp. 161-178
Author(s):  
Philip B. Weerakody ◽  
Kok Wai Wong ◽  
Guanjin Wang ◽  
Wendell Ela

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