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| Koopa: 非定常時系列のためのクープマン予測器× | 状態空間モデル（カルマンフィルタ）× | |
|---|---|---|
| 分野≠ | 深層学習 | 計量経済学 |
| 系統≠ | Machine learning | Regression model |
| 提唱年≠ | 2023 | 1990 |
| 提唱者≠ | Yong Liu et al. | Harvey; Durbin & Koopman (state space treatment); Kalman filter |
| 種類≠ | Koopman operator-based time-series forecasting model | State space time series model |
| 原典≠ | Liu, Y., Li, C., Wang, J., & Long, M. (2023). Koopa: Learning non-stationary time series dynamics with Koopman predictors. NeurIPS. link ↗ | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. DOI ↗ |
| 別名 | Koopman Predictor, Koopman-based Time-Series Model, Koopa Forecaster, Koopman Tahmincisi | state space, Kalman filter, unobserved components model, Durum Uzayı Modeli (State Space / Kalman Filter) |
| 関連≠ | 3 | 4 |
| 概要≠ | Koopa is a deep learning model for time-series forecasting introduced by Yong Liu, Chang Li, Jianmin Wang, and Mingsheng Long at NeurIPS 2023. It addresses the challenge of non-stationarity by disentangling time series into stationary and non-stationary components, then modeling the non-stationary dynamics using a learned approximation of the Koopman operator — a mathematical framework that lifts nonlinear systems into a linear space for tractable long-horizon prediction. | A state space model is a general time series framework that describes a series through unobserved (latent) state variables linked by a measurement equation and a transition equation, with the states estimated in real time by the Kalman filter. Developed in the state space tradition of Harvey (1990) and Durbin & Koopman (2012), it nests ARIMA and exponential smoothing as special cases. |
| ScholarGateデータセット ↗ |
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