1. Online Forecasting Matrix Factorization.
- Author
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Gultekin, San and Paisley, John
- Subjects
- *
FORECASTING , *FACTORIZATION , *TIME series analysis , *EMBEDDINGS (Mathematics) , *AUTOREGRESSIVE models , *MEAN square algorithms - Abstract
We consider the problem of forecasting a high-dimensional time series that can be modeled as matrices where each column denotes a measurement and use low-rank matrix factorization for predicting future values or imputing missing ones. We define and analyze our problem in the online setting in which the data arrive as a stream and only a single pass is allowed. We present and analyze new matrix factorization techniques that can learn low-dimensional embeddings effectively in an online manner. Based on these embeddings, we derive a recursive minimum mean square error estimator based on an autoregressive model. Experiments with two real datasets of tens of millions of measurements show the benefits of the proposed approach. [ABSTRACT FROM AUTHOR]
- Published
- 2019
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