Statistics and Its Interface
Volume 10 (2017)
Simple nuclear norm based algorithms for imputing missing data and forecasting in time series
Pages: 19 – 25
There has been much recent progress on the use of the nuclear norm for the so-called matrix completion problem (the problem of imputing missing values of a matrix). In this paper we investigate the use of the nuclear norm for modelling time series, with particular attention to imputing missing data and forecasting. We introduce a simple alternating projections type algorithm based on the nuclear norm for these tasks, and consider a number of practical examples.
nuclear norm, time series analysis, structured low rank approximation
2010 Mathematics Subject Classification
Primary 62M10, 62M15. Secondary 62P99.