Matrix factorization for multivariate time series analysis

DOI10.1214/19-EJS1630zbMath1442.62195arXiv1903.05589MaRDI QIDQ2008611

Nicolas Marie, Pierre Alquier

Publication date: 26 November 2019

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.05589

zbMATH Keywords

random matricesnonparametric regressionmatrix factorizationmultivariate time series analysis

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (probabilistic aspects) (60B20) Signal detection and filtering (aspects of stochastic processes) (60G35) Data smoothing in stochastic control theory (93E14) Random matrices (algebraic aspects) (15B52)

Related Items (2)

Tight risk bound for high dimensional time series completion ⋮ High-dimensional VAR with low-rank transition

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