Temporally Regularized Matrix Factorization
Extract TRMF Coefficients (Fm)
Access TRMF factors
Add external regressors to TRMF object
Add seasonal regularization model to a TRMF object
Extract TRMF residuals
Create a TRMF object
Extract TRMF fitted values.
Impute missing values in a matrix
Matrix Scaling
Plot Latent Time Series for a TRMF Object
Predict method for TRMF model fit
Objects exported from other packages
Retrain TRMF objects.
Summarize TRMF
Train a TRMF model
Add an Auto-Regressive Regularization Model to a TRMF Object.
Add a column regularization model to TRMF object
Add L2 regularization model to a TRMF object
Add Trend Model to a TRMF Object
Functions to estimate temporally regularized matrix factorizations (TRMF) for forecasting and imputing values in short but high-dimensional time series. Uses regularized alternating least squares to compute the factorization, allows for several types of constraints on matrix factors and natively handles weighted and missing data.