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Time-series imputation using low-rank matrix completion

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arxiv 2408.02594 v1 pith:GEVFEIUP submitted 2024-08-05 stat.ME

classification stat.ME
keywords imputationtime-seriescompletionmatrixdatalow-rankmethodblock-hankel
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We investigate the use of matrix completion methods for time-series imputation. Specifically we consider low-rank completion of the block-Hankel matrix representation of a time-series. Simulation experiments are used to compare the method with five recognised imputation techniques with varying levels of computational effort. The Hankel Imputation (HI) method is seen to perform competitively at interpolating missing time-series data, and shows particular potential for reproducing sharp peaks in the data.

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