Description Usage Arguments Details Value Author(s) References See Also Examples
Creates a regularization scheme that constrains latent time-series based on auto-regressive parameters and adds it to a TRMF object. In matrix optimization form, it adds the following term to the TRMF cost function: R(x) = lambdaD^2||w(DX_s)||^2 + lambdaA^2||X_s||^2 where X_s is sub-set of the Xm matrix controlled by this model and D is a matrix that corresponds to an auto-regressive model.
1 | TRMF_ar(obj,numTS = 1,AR,lambdaD=1,lambdaA=0.0001,weight=1)
|
obj |
A TRMF object |
numTS |
number of latent time series in this model |
lambdaD |
regularization parameter for temporal constraint matrix |
lambdaA |
regularization parameter to apply simple L2 regularization to this time series model |
weight |
optional vector of weights to weight constraints, i.e. R(x) = lambdaD^2*||w*(D%*%X)||^2 |
AR |
vector of autoregressive parameters. No checks are performed |
Setting AR = c(1) gives a random walk model, same as TRMF_trend(..., order=1)
Returns an updated object of class TRMF.
Chad Hammerquist
Yu, Hsiang-Fu, Nikhil Rao, and Inderjit S. Dhillon. "High-dimensional time series prediction with missing values." arXiv preprint arXiv:1509.08333 (2015).
create_TRMF
, TRMF_columns
, TRMF_trend
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