SAMoSSA: Multivariate Singular Spectrum Analysiswith Stochastic Autoregressive Noise
The well-established practice of time series analysis involves (i) estimating deterministic, non-stationary trend and seasonality components, followed by (ii) learning the residual stochastic, stationary components. Recently, it has been shown that one can learn the deterministic non-stationary comp...
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| Format: | Thesis |
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Massachusetts Institute of Technology
2023
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| Online Access: | https://hdl.handle.net/1721.1/151354 |