Abstract
Initially designed for independent datas, low-rank matrix completion was successfully applied in many domains to the reconstruction of partially observed high-dimensional time series. However, there is a lack of theory to support the application of these methods to dependent datas. In this paper, we propose a general model for multivariate, partially observed time series. We show that the least-square method with a rank penalty leads to reconstruction error of the same order as for independent datas. Moreover, when the time series has some additional properties such as periodicity or smoothness, the rate can actually be faster than in the independent case.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
