Corpus ID: 231933997

Tight Risk Bound for High Dimensional Time Series Completion

  title={Tight Risk Bound for High Dimensional Time Series Completion},
  author={Pierre Alquier and Nicolas Marie and Am'elie Rosier},
Initially designed for independent datas, low-rank matrix completion was successfully applied in many domains to the reconstruction of partially observed high-dimensional time series. However, there is a lack of theory to support the application of these methods to dependent datas. In this paper, we propose a general model for multivariate, partially observed time series. We show that the least-square method with a rank penalty leads to reconstruction error of the same order as for independent… 

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