OurSlope

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

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).

Emilie Lebarbier

TrendTM

Trend of High-Dimensional Time Series Matrix Estimation

OurSlope function

<dl><dt>contrast</dt>
<dd>the Frobenius norm of X-M_est for all the value of the grid <code>grille</code></dd>
<dt>grille</dt>
<dd>the ordered grid of potential values for the penalty constant</dd>
<dt>penalty</dt>
<dd>the penalty calculated for each value of the grid <code>grille</code></dd></dl>

Arguments

It performs the slope heuristic for the selection of a penalty constant — OurSlope

<dl>

<dt>contrast</dt>
<dd>the Frobenius norm of X-M_est for all the value of the grid <code>grille</code></dd>


<dt>grille</dt>
<dd>the ordered grid of potential values for the penalty constant</dd>


<dt>penalty</dt>
<dd>the penalty calculated for each value of the grid <code>grille</code></dd>

</dl>

OurSlope: It performs the slope heuristic for the selection of a penalty constant

Description

Usage

Value

Arguments