TrendTM: Trend of High-Dimensional Time Series Matrix Estimation

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).

Getting started

Package details

AuthorEmilie Lebarbier [aut, cre], Nicolas Marie [aut], Amélie Rosier [aut, cre].
MaintainerEmilie Lebarbier <>
Package repositoryView on CRAN
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TrendTM documentation built on Nov. 16, 2023, 5:10 p.m.