TrendTM

Trend of High-Dimensional Time Series Matrix Estimation

Amélie Rosier, Nicolas Marie, Emilie Lebarbier

Last update: 16 November 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 2.0.14, 2.0.19

Description

Matrix factorization for multivariate time series with both low rank and temporal structures. The procedure is the one proposed by Alquier, P. and Marie, N. Matrix factorization for multivariate time series analysis. Electronic journal of statistics, 13(2), 4346-4366 (2019).

This page was built for software: TrendTM