Time Series Forecasting Using Recurrent Neural Network and Vector Autoregressive Model: When and How




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The General Data Protection Regulation (GDPR), which came into effect on May 25, 2018, establishes strict guidelines for managing personal and sensitive data, backed by stiff penalties. GDPR’s requirements have forced some companies to shut down services and others to flee the EU market altogether. GDPR’s goal to give consumers control over their data and, thus, increase consumer trust in the digital ecosystem is laudable. However, there is a growing feeling that GDPR has dampened innovation in machine learning & AI applied to personal and/or sensitive data. After all, ML & AI are hungry for rich, detailed data and sanitizing data to improve privacy typically involves redacting or fuzzing inputs, which multiple studies have shown can seriously affect model quality and predictive power. While this is technically true for some privacy-safe modeling techniques, it’s not true in general. The root cause of the problem is two-fold. First, most data scientists have never learned how to produce great models with great privacy. Second, most companies lack the systems to make privacy-safe machine learning & AI easy. This talk will challenge the implicit assumption that more privacy means worse predictions. Using practical examples from production environments involving personal and sensitive data, the speakers will introduce a wide range of techniques–from simple hashing to advanced embeddings–for high-accuracy, privacy-safe model development. Key topics include pseudonymous ID generation, semantic scrubbing, structure-preserving data fuzzing, task-specific vs. task-independent sanitization and ensuring downstream privacy in multi-party collaborations. Special attention will be given to Spark-based production environments.
Talk by Jeffrey Yau.

About: Databricks provides a unified data analytics platform, powered by Apache Spark™, that accelerates innovation by unifying data science, engineering and business.
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Comment List

  • Databricks
    December 15, 2020

    but the problem with sign autocorrelations are known to be non-linear more like XOR function which when we apply the vector autoregressions to it , will fail miserably ! so do you have any special advice as to which method works better with sign AND magnitude autocorrelations
    your input is highly appreciated

  • Databricks
    December 15, 2020

    Very helpful. Thank you..! Just noticed that in 20:22 you are multiplying by lag 3 for inverse transformation although you differenced by lag 12

  • Databricks
    December 15, 2020

    Could anyone explain the part where he puts the RMSE into context. Im not sure how that fits into forecasting future values

  • Databricks
    December 15, 2020

    Thanks for this outstanding presentation :-).

  • Databricks
    December 15, 2020

    Is there an example of Reinforcement Learning?

  • Databricks
    December 15, 2020

    25:48 You forgot Water gate !

  • Databricks
    December 15, 2020

    Thanks so much for a great presentation, Jeff Yau! I've been looking for techniques to model multivariate time series data, and found this video to be extremely helpful!

  • Databricks
    December 15, 2020

    At 20:18 aren't you inversing the diff with the same values you are trying to forecast? (… * series['beer'][-3:])

  • Databricks
    December 15, 2020

    Hii
    How to handle persistent model problem. While doing time series analysis i get the output which seems to be one time step ahead of the actual series. How to rectify this problem?? This thing i am getting with several ML, DL, and as well as with statistical algos. Please do reply??

  • Databricks
    December 15, 2020

    1) Has anyone found a link to Jeffrey Yau's hour-and-a-half version of this talk?
    2) The description on this video is incorrect, this video is not about GDPR.

  • Databricks
    December 15, 2020

    Share the source code please?

  • Databricks
    December 15, 2020

    yeah , put a link to github repository captain america. Scraping letter by letter from the video will take me a hole day.

  • Databricks
    December 15, 2020

    Hello sir, can i please get the script for your presentation. I will really glad if you provide your codes to me. Thanks

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