Computer Sciences Commons^™

Temporal Tensor Factorization For Multidimensional Forecasting, Jackson Cates, Karissa Scipke, Randy Hoover, Kyle Caudle

SDSU Data Science Symposium

In the era of big data, there is a need for forecasting high-dimensional time series that might be incomplete, sparse, and/or nonstationary. The current research aims to solve this problem for two-dimensional data through a combination of temporal matrix factorization (TMF) and low-rank tensor factorization. From this method, we propose an expansion of TMF to two-dimensional data: temporal tensor factorization (TTF). The current research aims to interpolate missing values via low-rank tensor factorization, which produces a latent space of the original multilinear time series. We then can perform forecasting in the latent space. We present experimental results of the proposed …