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- W2983535075 abstract "We present a simple algorithm to forecast vector time series, that is robust against missing data, in both training and inference. It models seasonal annual, weekly, and daily baselines, and a Gaussian process for the seasonally-adjusted residuals. We develop a custom truncated eigendecomposition to fit a low-rank plus block-diagonal Gaussian kernel. Inference is performed with the Schur complement, using Tikhonov regularization to prevent overfit, and the Woodbury formula to invert sub-matrices of the kernel efficiently. Inference requires an amount of memory and computation linear in the dimension of the time series, and so the model can scale to very large datasets. We also propose a simple greedy grid search for automatic hyper-parameter tuning. The paper is accompanied by tsar (i.e., time series auto-regressor), a Python library that implements the algorithm." @default.
- W2983535075 created "2019-11-22" @default.
- W2983535075 creator A5052215713 @default.
- W2983535075 date "2019-11-04" @default.
- W2983535075 modified "2023-09-27" @default.
- W2983535075 title "Seasonally-Adjusted Auto-Regression of Vector Time Series" @default.
- W2983535075 hasPublicationYear "2019" @default.
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