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stat.ML2023
SALSA: Sequential Approximate Leverage-Score Algorithm with Application in Analyzing Big Time Series Data
Ali Eshragh, Luke Yerbury, Asef Nazari +2
We develop a new efficient sequential approximate leverage score algorithm, SALSA, using methods from randomized numerical linear algebra (RandNLA) for large matrices. We demonstra…
stat.ML2021
Toeplitz Least Squares Problems, Fast Algorithms and Big Data
Ali Eshragh, Oliver Di Pietro, Michael A. Saunders
In time series analysis, when fitting an autoregressive model, one must solve a Toeplitz ordinary least squares problem numerous times to find an appropriate model, which can sever…