Recurrent Barycenter Encoder: Prediction, Simulation and Applications to Time Series Analysis

Abstract

This dissertation has two parts. In the first part we theoretically develop a framework that extends the optimal transport barycenter problem from independent data with observed covariates to processes whose relevant covariate is their own history. Given a stationary stochastic process, our framework shows there exists an invertible transport map that extracts from it an iid component whose distribution is the barycenter of the conditional distributions of the input process on its own past. This extracted iid sequence thus captures the innovation or noise component of the process that is not explained by the process's own past. In the second part of this thesis we implement an effective algorithm to solve this problem and test it against synthetic data generated with some well-known models in time series analysis for which the solution is known in closed-form. We then show how this method can be applied to build a predictive sampler for such processes, and assess the accuracy of this predictive sampler both with the aforementioned synthetic data and with real-world time series such as the S&P 500 and Bitcoin 4-hour returns, and the daily records of the North Atlantic Oscillation index from the NOAA Physical Sciences Laboratory. Finally, we demonstrate an application of the sampler to path simulation with a well-known time series model.