generative model paper notes
GP-VAE: Deep Probabilistic Time Series Imputation
- missing data
- deal with latent space instead filling the missing observation as the feature representation are complete
- multi time scale
- a mixture of RBF kernels with different timescale
- a Gamma distribution over the length scale to compute infinite mixture of RBF -> Cauchy kernel
- efficient inference
- precision matrix is parameterized in terms of a product of bidiagonal matrices
- encoder (CNN) convolve over time dimension of the input, outputs a tensor of size T×3k, corresponding to timestep t and 3k parameters, where k is the dimensionality of the latent space