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arXiv · 2401.17077

Dynamical Survival Analysis with Controlled Latent States

Linus Bleistein·Van-Tuan Nguyen·Adeline Fermanian·Agathe Guilloux
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Abstract

We consider the task of learning individual-specific intensities of counting processes from a set of static variables and irregularly sampled time series. We introduce a novel modelization approach in which the intensity is the solution to a controlled differential equation. We first design a neural estimator by building on neural controlled differential equations. In a second time, we show that our model can be linearized in the signature space under sufficient regularity conditions, yielding a signature-based estimator which we call CoxSig. We provide theoretical learning guarantees for both estimators, before showcasing the performance of our models on a vast array of simulated and real-world datasets from finance, predictive maintenance and food supply chain management.

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Linus Bleistein, Van-Tuan Nguyen, Adeline Fermanian, Agathe Guilloux. 2024-01-30. Dynamical Survival Analysis with Controlled Latent States. https://arxiv.org/abs/2401.17077

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