Matrix factorization for multivariate time series analysis

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文件名称：Matrix factorization for multivariate time series analysis
文件大小：288KB
文件格式：PDF
更新时间：2022-04-05 03:14:35
时间序列 Matrix factorization is a powerful data analysis tool. It has been used in multivariate time series analysis, leading to the decomposition of the series in a small set of latent factors. However, little is known on the statistical performances of matrix factorization for time series. In this paper, we extend the results known for matrix estimation in the i.i.d setting to time series. Moreover, we prove that when the series exhibit some additional structure like periodicity or smoothness, it is possible to improve on the classical rates of convergence.