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TrendTM (version 2.0.19)

Trend of High-Dimensional Time Series Matrix Estimation

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).

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Version

Install

install.packages('TrendTM')

Monthly Downloads

542

Version

2.0.19

License

GPL-3

Maintainer

Emilie Lebarbier

Last Published

November 16th, 2023

Functions in TrendTM (2.0.19)

OurSlope

It performs the slope heuristic for the selection of a penalty constant
Data_Series

Example of data
FM_kt

It performs the factorization for a fixed rank k and a temporal structure with a fixed tau
TrendTM

Matrix Factorization for Multivariate Time Series Analysis