Title: Joint Modeling of Event Sequence and Time Series with Attentional Twin Recurrent Neural Networks,
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.