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Title: DeepExtrema: A Deep Learning Approach for Forecasting Block Maxima in Time Series Data
Accurate forecasting of extreme values in time series is critical due to the significant impact of extreme events on human and natural systems. This paper presents DeepExtrema, a novel framework that combines a deep neural network (DNN) with generalized extreme value (GEV) distribution to forecast the block maximum value of a time series. Implementing such a network is a challenge as the framework must preserve the inter-dependent constraints among the GEV model parameters even when the DNN is initialized. We describe our approach to address this challenge and present an architecture that enables both conditional mean and quantile prediction of the block maxima. The extensive experiments performed on both real-world and synthetic data demonstrated the superiority of DeepExtrema compared to other baseline methods.  more » « less
Award ID(s):
2006633
PAR ID:
10358675
Author(s) / Creator(s):
; ; ; ;
Date Published:
Journal Name:
Proceedings of the Thirty-First International Joint Conference on Artificial Intelligence
Page Range / eLocation ID:
2980 to 2986
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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