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  • 标题:Simple nuclear norm based algorithms for imputing missing data and forecasting in time series
  • 本地全文:下载
  • 作者:Holly Butcher ; Jonathan Gillard
  • 期刊名称:Statistics and Its Interface
  • 印刷版ISSN:1938-7989
  • 电子版ISSN:1938-7997
  • 出版年度:2017
  • 卷号:10
  • 期号:1
  • 页码:19-25
  • DOI:10.4310/SII.2017.v10.n1.a2
  • 出版社:International Press
  • 摘要:There has been much recent progress on the use of the nuclear norm for the so-called matrix completion problem (the problem of imputing missing values of a matrix). In this paper we investigate the use of the nuclear norm for modelling time series, with particular attention to imputing missing data and forecasting. We introduce a simple alternating projections type algorithm based on the nuclear norm for these tasks, and consider a number of practical examples.
  • 关键词:nuclear norm; time series analysis; structured low rank approximation
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