Time-Varying Autoregression with Low-Rank Tensors

DOI10.1137/20M1338058MaRDI QIDQ5016785zbMATH OpenWikidataFDO

Authors

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

autoregressiondata-driven modeltensor factorizationtime series

Mathematics Subject Classification ID

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

Cites work

• A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
• Adaptive, locally linear models of complex dynamics
• An analytic approach to practical state space reconstruction
• Applied Koopmanism
• Bayesian forecasting and dynamic models.
• Bayesian reasoning and machine learning.
• Bayesian theory and applications
• Bayesian time-varying autoregressions: Theory, methods and applications.
• Centering data improves the dynamic mode decomposition
• Convergence of a block coordinate descent method for nondifferentiable minimization
• Dynamic mode decomposition with control
• Group Lasso for structural break time series
• scientific article; zbMATH DE number 3810550 (Why is no real title available?)
• scientific article; zbMATH DE number 3677404 (Why is no real title available?)
• LASSO estimation of threshold autoregressive models
• Miscellanea. Time series decomposition
• Multiresolution dynamic mode decomposition
• On dynamic mode decomposition: theory and applications
• Online Dynamic Mode Decomposition for Time-Varying Systems
• Spectral analysis of nonlinear flows
• Spectral proper orthogonal decomposition and its relationship to dynamic mode decomposition and resolvent analysis
• Tensor Decompositions and Applications
• Three-way arrays: rank and uniqueness of trilinear decompositions, with application to arithmetic complexity and statistics

Cited in

(1)

• High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition

This page was built for publication: Time-Varying Autoregression with Low-Rank Tensors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5016785)