TrendTM
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Software:104211
Trend of High-Dimensional Time Series Matrix Estimation
Emilie Lebarbier, Nicolas Marie, Amélie Rosier
Last update: 16 November 2023
Software version identifier: 2.0.14, 2.0.19
Copyright license: GNU General Public License, version 3.0
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).
