Joint Modeling of Event Sequence and Time Series with Attentional Twin Recurrent Neural Networks

TL;DR

This paper introduces a novel attentional twin RNN framework for joint modeling of event sequences and time series, capturing complex temporal dynamics and interactions for improved prediction and interpretability.

Contribution

The paper proposes a new twin RNN architecture with attention mechanism for jointly modeling event data and time series, enhancing interpretability and predictive performance.

Findings

Outperforms existing models on synthetic and real-world datasets.

Effectively captures interactions between event sequences and time series.

Provides interpretable insights through attention mechanisms.

Abstract

A variety of real-world processes (over networks) produce sequences of data whose complex temporal dynamics need to be studied. More especially, the event timestamps can carry important information about the underlying network dynamics, which otherwise are not available from the time-series evenly sampled from continuous signals. Moreover, in most complex processes, event sequences and evenly-sampled times series data can interact with each other, which renders joint modeling of those two sources of data necessary. To tackle the above problems, in this paper, we utilize the rich framework of (temporal) point processes to model event data and timely update its intensity function by the synergic twin Recurrent Neural Networks (RNNs). In the proposed architecture, the intensity function is synergistically modulated by one RNN with asynchronous events as input and another RNN with time series as input. Furthermore, to enhance the interpretability of the model, the attention mechanism for the neural point process is introduced. The whole model with event type and timestamp prediction output layers can be trained end-to-end and allows a black-box treatment for modeling the intensity. We substantiate the superiority of our model in synthetic data and three real-world benchmark datasets.