Robust PCA for Anomaly Detection and Data Imputation in Seasonal Time Series
Hong-Lan Botterman, Julien Roussel, Thomas Morzadec, Jabbari, Ali, Brunel, Nicolas · arXiv (Cornell University) · 2022
We propose a robust principal component analysis (RPCA) framework to recover low-rank and sparse matrices from temporal observations. We develop an online version of the batch temporal algorithm in order to process larger datasets or streaming data. We empirically compare the proposed approaches with different RPCA frameworks and show their effectiveness in practical situations.