Time-Varying Autoregression with Low-Rank Tensors

DOI10.1137/20M1338058WikidataQ114074199 ScholiaQ114074199MaRDI QIDQ5016785

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Publication date: 14 December 2021

Published in: SIAM Journal on Applied Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.08389

zbMATH Keywords

time seriesautoregressiondata-driven modeltensor factorization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Multilinear algebra, tensor calculus (15A69) Dynamical systems in numerical analysis (37N30) Artificial intelligence (68Txx) Tensor products of linear operators (47A80)

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