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...
Main Author: | Mann, Sean |
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Other Authors: | Shah, Devavrat |
Format: | Thesis |
Published: |
Massachusetts Institute of Technology
2023
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Online Access: | https://hdl.handle.net/1721.1/151354 |
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