Probabilistic sequential matrix factorization

1 code implementation • 9 Oct 2019 • Ömer Deniz Akyildiz, Gerrit J. J. van den Burg, Theodoros Damoulas, Mark F. J. Steel

In particular, we consider nonlinear Gaussian state-space models where sequential approximate inference results in the factorization of a data matrix into a dictionary and time-varying coefficients with potentially nonlinear Markovian dependencies.

Multivariate Time Series Forecasting Multivariate Time Series Imputation +1