相关论文: Optimal Latent Space Forecasting for Large Collect…

Probabilistic forecasting of high dimensional multivariate time series is a notoriously challenging task, both in terms of computational burden and distribution modeling. Most previous work either makes simple distribution assumptions or…

Modern time series forecasting methods, such as Transformer and its variants, have shown strong ability in sequential data modeling. To achieve high performance, they usually rely on redundant or unexplainable structures to model complex…

In this paper the problem of forecasting high dimensional time series is considered. Such time series can be modeled as matrices where each column denotes a measurement. In addition, when missing values are present, low rank matrix…

High-dimensional matrix-variate time series data are becoming widely available in many scientific fields, such as economics, biology, and meteorology. To achieve significant dimension reduction while preserving the intrinsic matrix…

Time series forecasting plays an increasingly important role in modern business decisions. In today's data-rich environment, people often aim to choose the optimal forecasting model for their data. However, identifying the optimal model…

Matrix factorization is a powerful data analysis tool. It has been used in multivariate time series analysis, leading to the decomposition of the series in a small set of latent factors. However, little is known on the statistical…

This research article suggests that there are significant benefits in exposing demand planners to forecasting methods using matrix completion techniques. This study aims to contribute to a better understanding of the field of forecasting…

High-dimensional multivariate spatial-temporal data arise frequently in a wide range of applications; however, there are relatively few statistical methods that can simultaneously deal with spatial, temporal and variable-wise dependencies…

Time series forecasting presents unique challenges that limit the effectiveness of traditional machine learning algorithms. To address these limitations, various approaches have incorporated linear constraints into learning algorithms, such…

We consider forecasting a single time series when there is a large number of predictors and a possible nonlinear effect. The dimensionality was first reduced via a high-dimensional (approximate) factor model implemented by the principal…

Recently, there has been a growing interest in Long-term Time Series Forecasting (LTSF), which involves predicting long-term future values by analyzing a large amount of historical time-series data to identify patterns and trends. There…

Estimations and applications of factor models often rely on the crucial condition that the number of latent factors is consistently estimated, which in turn also requires that factors be relatively strong, data are stationary and weak…

Producing probabilistic forecasts for large collections of similar and/or dependent time series is a practically relevant and challenging task. Classical time series models fail to capture complex patterns in the data, and multivariate…

The matrix factor model has drawn growing attention for its advantage in achieving two-directional dimension reduction simultaneously for matrix-structured observations. In this paper, we propose a simple iterative least squares algorithm…

Matrix Factorization has emerged as a widely adopted framework for modeling data exhibiting low-rank structures. To address challenges in manifold learning, this paper presents a subspace-constrained quadratic matrix factorization model.…

A novel unsupervised learning method is proposed in this paper for biclustering large-dimensional matrix-valued time series based on an entirely new latent two-way factor structure. Each block cluster is characterized by its own row and…

One of the challenging questions in time series forecasting is how to find the best algorithm. In recent years, a recommender system scheme has been developed for time series analysis using a meta-learning approach. This system selects the…

Matrix time series, which consist of matrix-valued data observed over time, are prevalent in various fields such as economics, finance, and engineering. Such matrix time series data are often observed in high dimensions. Matrix factor…

Multivariate time series forecasting is widely used in various fields. Reasonable prediction results can assist people in planning and decision-making, generate benefits and avoid risks. Normally, there are two characteristics of time…

Tensor time series data appears naturally in a lot of fields, including finance and economics. As a major dimension reduction tool, similar to its factor model counterpart, the idiosyncratic components of a tensor time series factor model…