2 papers
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.ME2021
Rollage: Efficient Rolling Average Algorithm to Estimate ARMA Models for Big Time Series Data
Ali Eshragh, Glen Livingston, Thomas McCarthy McCann +1
We develop a new efficient algorithm for the analysis of large-scale time series data. We firstly define rolling averages, derive their analytical properties, and establish their a…