Matrix factorization for multivariate time series analysis
Copyright policy )Matrix factorization for multivariate time series analysis
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.
16 pages
330, Random matrices (algebraic aspects), Estimation in multivariate analysis, Data smoothing in stochastic control theory, Mathematics - Statistics Theory, Statistics Theory (math.ST), 93E14, matrix factorization, matrix Factorization, Multivariate time series analysis, random matrices, non-parametric Regression, 510, 62G08, FOS: Mathematics, 62H25, 62M20, Nonparametric regression and quantile regression, 60B20, Multivariate Time Series Analysis, [STAT.TH] Statistics [stat]/Statistics Theory [stat.TH], multivariate time series analysis, Matrix factorization, [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH], Nonparametric regression, Factor analysis and principal components; correspondence analysis, Random matrices (probabilistic aspects), Time series, auto-correlation, regression, etc. in statistics (GARCH), random Matrices, nonparametric regression, 62M10, 60G35, 62H12, Random matrices, Signal detection and filtering (aspects of stochastic processes)
330, Random matrices (algebraic aspects), Estimation in multivariate analysis, Data smoothing in stochastic control theory, Mathematics - Statistics Theory, Statistics Theory (math.ST), 93E14, matrix factorization, matrix Factorization, Multivariate time series analysis, random matrices, non-parametric Regression, 510, 62G08, FOS: Mathematics, 62H25, 62M20, Nonparametric regression and quantile regression, 60B20, Multivariate Time Series Analysis, [STAT.TH] Statistics [stat]/Statistics Theory [stat.TH], multivariate time series analysis, Matrix factorization, [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH], Nonparametric regression, Factor analysis and principal components; correspondence analysis, Random matrices (probabilistic aspects), Time series, auto-correlation, regression, etc. in statistics (GARCH), random Matrices, nonparametric regression, 62M10, 60G35, 62H12, Random matrices, Signal detection and filtering (aspects of stochastic processes)
citations The total number of citations received by all articles of the researcher of interest.5 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!