About this document
Multivariate Singular Spectrum Analysis by nissimpersonalfolder is a document available to read on EtoBox.
This document introduces a variant of multivariate singular spectrum analysis (mSSA) aimed at improving imputation and forecasting of multivariate time series data. The proposed method demonstrates better prediction mean-squared-error scaling compared to existing methods and shows competitive performance against state-of-the-art neural network approaches. Additionally, the authors propose extensions for time-varying variance estimation and a tensor variant for improved sample complexity.
- Author
- nissimpersonalfolder
- Language
- EN