FM_kt: It performs the factorization for a fixed rank k and a...

In TrendTM: Trend of High-Dimensional Time Series Matrix Estimation

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

Description

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

Usage

FM_kt(
  Data_Series,
  k = 2,
  tau = floor(n/2),
  struct_temp = "none",
  type_soft = "als"
)

Arguments

Data_Series	the data matrix with d rows and n columns containing the d temporal series with size n.
k	the fixed rank of X. Default is 2.
tau	the fixed value for tau . Default is floor(n/2).
struct_temp	a name indicating the temporal structure. Could be none, periodic or smooth. Default is none.
type_soft	the option type of the function softImpute. Default is als.

Value

A list containing

• M_est the estimation of M.

• U_est the component U of the decomposition of M_est.

• V_est the component V of the decomposition of M_est.

• contrast the Frobenius norm of X-M_est.

TrendTM documentation built on Nov. 16, 2023, 5:10 p.m.