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Learning Linear Dynamical Systems from Multivariate Time Series: A Matrix Factorization Based Framework

The linear dynamical system (LDS) model is arguably the most commonly used time series model for real-world engineering and financial applications due to its relative simplicity, mathematically predictable behavior, and the fact that exact inference and predictions for the model can be done efficien...

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Pubblicato in:Proc SIAM Int Conf Data Min
Autori principali: Liu, Zitao, Hauskrecht, Milos
Natura: Artigo
Lingua:Inglês
Pubblicazione: 2016
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Accesso online:https://ncbi.nlm.nih.gov/pmc/articles/PMC5098501/
https://ncbi.nlm.nih.gov/pubmed/27830108
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1137/1.9781611974348.91
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