diff --git a/README.md b/README.md index 4e80c21697..0ccfbc56e0 100644 --- a/README.md +++ b/README.md @@ -141,3 +141,10 @@ the following reference to the associated year={2019} } ``` + +## Further Reading + +* [Collected Papers from the group behind GluonTS](https://github.com/awslabs/gluon-ts/tree/master/REFERENCES.md): a bibliography. +* [Tutorial at SIGMOD 2019](https://lovvge.github.io/Forecasting-Tutorials/SIGMOD-2019/) +* [Tutorial at KDD 2019](https://lovvge.github.io/Forecasting-Tutorial-KDD-2019/) +* [Tutorial at VLDB 2018](https://lovvge.github.io/Forecasting-Tutorial-VLDB-2018/) diff --git a/REFERENCES.md b/REFERENCES.md new file mode 100644 index 0000000000..e7e7e7a50b --- /dev/null +++ b/REFERENCES.md @@ -0,0 +1,189 @@ +# Scientific Articles +We encourage you to also check out work by the group behind +GluonTS. They are grouped according to topic and ordered +chronographically. + +## Methods +A number of the below methods are available in GluonTS. + +[A multivariate forecasting model](https://arxiv.org/abs/1910.03002) +``` +@inproceedings{salinas2019high, + Author = {Salinas, David and Bohlke-Schneider, Michael and Callot, Laurent and Gasthaus, Jan}, + Booktitle = {Advances in Neural Information Processing Systems}, + Title = {High-Dimensional Multivariate Forecasting with Low-Rank Gaussian Copula Processes}, + Year = {2019} +} +``` + +[Deep Factor models, a global-local forecasting method.](http://proceedings.mlr.press/v97/wang19k.html) +``` +@inproceedings{wang2019deep, + Author = {Wang, Yuyang and Smola, Alex and Maddix, Danielle and Gasthaus, Jan and Foster, Dean and Januschowski, Tim}, + Booktitle = {International Conference on Machine Learning}, + Pages = {6607--6617}, + Title = {Deep factors for forecasting}, + Year = {2019} +} +``` +[DeepAR, an RNN-based probabilistic forecasting model](https://arxiv.org/abs/1704.04110) +``` +@article{flunkert2019deepar, + Author = {Salinas, David and Flunkert, Valentin and Gasthaus, Jan and Tim Januschowski}, + Journal = {International Journal of Forecasting}, + Title = {DeepAR: Probabilistic forecasting with autoregressive recurrent networks}, + Year = {2019} +} +``` +[A flexible way to model probabilistic forecasts via spline quantile forecasts.](http://proceedings.mlr.press/v89/gasthaus19a.html) +``` +@inproceedings{gasthaus2019probabilistic, + Author = {Gasthaus, Jan and Benidis, Konstantinos and Wang, Yuyang and Rangapuram, Syama Sundar and Salinas, David and Flunkert, Valentin and Januschowski, Tim}, + Booktitle = {The 22nd International Conference on Artificial Intelligence and Statistics}, + Pages = {1901--1910}, + Title = {Probabilistic Forecasting with Spline Quantile Function RNNs}, + Year = {2019} +} +``` +[Using RNNs to parametrize State Space Models.](https://papers.nips.cc/paper/8004-deep-state-space-models-for-time-series-forecasting) +``` +@inproceedings{rangapuram2018deep, + Author = {Rangapuram, Syama Sundar and Seeger, Matthias W and Gasthaus, Jan and Stella, Lorenzo and Wang, Yuyang and Januschowski, Tim}, + Booktitle = {Advances in Neural Information Processing Systems}, + Pages = {7785--7794}, + Title = {Deep state space models for time series forecasting}, + Year = {2018} +} +``` +[A scalable state space model. Note that code for this model +is currently not available in GluonTS.](https://papers.nips.cc/paper/6313-bayesian-intermittent-demand-forecasting-for-large-inventories) +``` +@inproceedings{seeger2016bayesian, + Author = {Seeger, Matthias W and Salinas, David and Flunkert, Valentin}, + Booktitle = {Advances in Neural Information Processing Systems}, + Pages = {4646--4654}, + Title = {Bayesian intermittent demand forecasting for large inventories}, + Year = {2016} +} +``` + + + +## Tutorials +Tutorials are available in bibtex and with accompanying material, + in particular slides, linked from below. + +### KDD 2019 +[paper](https://dl.acm.org/citation.cfm?id=3332289) +[slides](https://lovvge.github.io/Forecasting-Tutorial-KDD-2019/) +``` +@inproceedings{faloutsos19forecasting, + author = {Faloutsos, Christos and + Flunkert, Valentin and + Gasthaus, Jan and + Januschowski, Tim and + Wang, Yuyang}, + title = {Forecasting Big Time Series: Theory and Practice}, + booktitle = {Proceedings of the 25th {ACM} {SIGKDD} International Conference on + Knowledge Discovery {\&} Data Mining, {KDD} 2019, Anchorage, AK, + USA, August 4-8, 2019.}, + year = {2019} + } +``` +### SIGMOD 2019 +[paper](https://dl.acm.org/citation.cfm?id=3314033&dl=ACM&coll=DL) +[supporting material](https://lovvge.github.io/Forecasting-Tutorials/SIGMOD-2019/) +``` +@inproceedings{faloutsos2019classical, + author = {Faloutsos, Christos and Gasthaus, Jan and Januschowski, Tim and Wang, Yuyang}, + title = {Classical and Contemporary Approaches to Big Time Series Forecasting}, + booktitle = {Proceedings of the 2019 International Conference on Management of Data}, + series = {SIGMOD '19}, + publisher = {ACM}, + address = {New York, NY, USA}, + year = {2019} +} +``` +### VLDB 2018 +[paper](http://www.vldb.org/pvldb/vol11/p2102-faloutsos.pdf) +[supporting material](https://lovvge.github.io/Forecasting-Tutorial-VLDB-2018/) +``` +@article{faloutsos2018forecasting, + Author = {Faloutsos, Christos and Gasthaus, Jan and Januschowski, Tim and Wang, Yuyang}, + Journal = {Proceedings of the VLDB Endowment}, + Number = {12}, + Pages = {2102--2105}, + Title = {Forecasting big time series: old and new}, + Volume = {11}, + Year = {2018} +} +``` + +## General audience +An overview of forecasting libraries in Python. +[paper to appear](https://foresight.forecasters.org/wp-content/uploads/Foresight_Issue55_cumTOC.pdf) +``` +@article{januschowski19open, + title={Open-Source Forecasting Tools in Python}, + author={Januschowski, Tim and Gasthaus, Jan and Wang, Yuyang}, + journal={Foresight: The International Journal of Applied Forecasting}, + year={2019} +} +``` +[A commentary on the M4 competition and its classification of the participating methods +into 'statistical' and 'ML' methods. The article proposes alternative criteria.](https://www.sciencedirect.com/science/article/pii/S0169207019301529) +``` +@article{januschowski19criteria, +title = {Criteria for classifying forecasting methods}, +author = {Januschowski, Tim and Gasthaus, Jan and Wang, Yuyang and Salinas, David and Flunkert, Valentin and Bohlke-Schneider, Michael and Callot, Laurent}, +journal = {International Journal of Forecasting}, +year = {2019} +} +``` +[The business forecasting problem landscape can be divided into +strategic, tactical and operational forecasting problems.](https://foresight.forecasters.org/product/foresight-issue-53/) +``` +@article{januschowski18a, + title={A Classification of Business Forecasting Problems}, + author={Januschowski, Tim and Kolassa, Stephan}, + journal={Foresight: The International Journal of Applied Forecasting}, + year={2019}, + volume={52}, + pages={36-43} +} +``` +A two-part article introducing deep learning for forecasting. +[part 2](https://foresight.forecasters.org/product/foresight-issue-52/) +[part 1](https://foresight.forecasters.org/product/foresight-issue-51/) +``` +@article{januschowski18deep2, +title = {Deep Learning for Forecasting: Current Trends and Challenges}, +journal = {Foresight: The International Journal of Applied Forecasting}, +year = {2018}, +author = {Januschowski, Tim and Gasthaus, Jan and Wang, Yuyang and Rangapuram, Syama Sundar and Callot, Laurent}, +volume = {51}, +pages = {42-47} +} +``` +``` +@article{januschowski18deep, + title = {Deep Learning for Forecasting}, + author = {Januschowski, Tim and Gasthaus, Jan and Wang, Yuyang and Rangapuram, Syama and Callot, Laurent}, + journal = {Foresight}, + year = {2018} +} +``` + +## System Aspects +[A large-scale retail forecasting system.](http://www.vldb.org/pvldb/vol10/p1694-schelter.pdf) +``` +@article{bose2017probabilistic, + Author = {B{\"o}se, Joos-Hendrik and Flunkert, Valentin and Gasthaus, Jan and Januschowski, Tim and Lange, Dustin and Salinas, David and Schelter, Sebastian and Seeger, Matthias and Wang, Yuyang}, + Journal = {Proceedings of the VLDB Endowment}, + Number = {12}, + Pages = {1694--1705}, + Title = {Probabilistic demand forecasting at scale}, + Volume = {10}, + Year = {2017} +} +``` \ No newline at end of file