Deep learning models have shown impressive results in a variety of time series forecasting tasks, where modeling the conditional distribution of the future given the past is the essence. However, when this conditional distribution is non-stationary, it poses challenges for these models to learn consistently and to predict accurately. In this work, we propose a new method to model non-stationary conditional distributions over time by clearly decoupling stationary conditional distribution modeling from non-stationary dynamics modeling. Our method is based on a Bayesian dynamic model that can adapt to conditional distribution changes and a deep conditional distribution model that can handle large multivariate time series using a factorized output space. Our experimental results on synthetic and popular public datasets show that our model can adapt to non-stationary time series better than state-of-the-art deep learning solutions.
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