## Abstract

Many applications, e.g., healthcare, education, call for effective methods methods for constructing predictive models from high dimensional time series data where the relationship between variables can be complex and vary over time. In such settings, the underlying system undergoes a sequence of unobserved transitions among a finite set of hidden states. Furthermore, the relationships between the observed variables and their temporal dynamics may depend on the hidden state of the system. To further complicate matters, the hidden state sequences underlying the observed data from different individuals may not be aligned relative to a common frame of reference. Against this background, we consider the novel problem of jointly learning the state-dependent inter-variable relationships as well as the pattern of transitions between hidden states from multi-variate time series data. To solve this problem, we introduce the State-Regularized Vector Autoregressive Model (SrVARM) which combines a state-regularized recurrent neural network to learn the dynamics of transitions between discrete hidden states with an augmented autoregressive model which models the inter-variable dependencies in each state using a state-dependent directed acyclic graph (DAG). We propose an efficient algorithm for training SrVARM by leveraging a recently introduced reformulation of the combinatorial problem of optimizing the DAG structure with respect to a scoring function into a continuous optimization problem. We report results of extensive experiments with simulated data as well as a real-world benchmark that show that SrVARM outperforms state-of-the-art baselines in recovering the unobserved state transitions and discovering the state-dependent relationships among variables.

Original language | English (US) |
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Title of host publication | The Web Conference 2021 - Proceedings of the World Wide Web Conference, WWW 2021 |

Publisher | Association for Computing Machinery, Inc |

Pages | 2270-2280 |

Number of pages | 11 |

ISBN (Electronic) | 9781450383127 |

DOIs | |

State | Published - Apr 19 2021 |

Event | 2021 World Wide Web Conference, WWW 2021 - Ljubljana, Slovenia Duration: Apr 19 2021 → Apr 23 2021 |

### Publication series

Name | The Web Conference 2021 - Proceedings of the World Wide Web Conference, WWW 2021 |
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### Conference

Conference | 2021 World Wide Web Conference, WWW 2021 |
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Country/Territory | Slovenia |

City | Ljubljana |

Period | 4/19/21 → 4/23/21 |

## All Science Journal Classification (ASJC) codes

- Computer Networks and Communications
- Software