TrendTM

Trend of High-Dimensional Time Series Matrix Estimation

CRAN Package

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).

  • Version2.0.19
  • R version≥ 3.5.0
  • LicenseGPL-3
  • Needs compilation?No
  • Last release11/16/2023

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  • Depends1 package
  • Imports3 packages