TrendTM: Trend of High-Dimensional Time Series Matrix Estimation
Emilie Lebarbier, Nicolas Marie, Amélie Rosier · 2022
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).