Iterative algorithms for weighted and unweighted finite-rank time-series approximations

@article{Zvonarev2015IterativeAF,
  title={Iterative algorithms for weighted and unweighted finite-rank time-series approximations},
  author={N. Zvonarev and N. Golyandina},
  journal={arXiv: Methodology},
  year={2015}
}
The problem of time series approximation by series of finite rank is considered from the viewpoint of signal extraction. For signal estimation, a weighted least-squares method is applied to the trajectory matrix of the considered time series. Matrix weights are chosen to obtain equal or approximately equal weights in the equivalent problem of time-series least-squares approximation. Several new methods are suggested and examined together with the Cadzow's iterative method. The questions of… Expand

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