Deep GPVAR: Upgrading DeepAR For Multi-Dimensional Forecasting | by Nikos Kafritsas | Mar, 2023
Amazon’s new Time-Series Forecasting modelCreated with DALLE What is the most enjoyable thing when you read a new paper? For me, this is the following:Imagine a popular model suddenly getting upgraded — with just a few elegant tweaks.Three years after DeepAR , Amazon engineers published its revamped version, known as Deep GPVAR (Deep Gaussian-Process Vector Auto-regressive).This is a much-improved model of the original version. Plus, it is open-source. In this article, we discuss:How Deep GPVAR works in depth.How DeepAR…