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math.ST2023
Change point detection in low-rank VAR processes
Farida Enikeeva, Olga Klopp, Mathilde Rousselot
Vector autoregressive (VAR) models are widely used in multivariate time series analysis for describing the short-time dynamics of the data. The reduced-rank VAR models are of parti…
math.ST2014★ 21 cited
Probabilistic low-rank matrix completion on finite alphabets
Jean Lafond, Olga Klopp, Eric Moulines +1
The task of reconstructing a matrix given a sample of observedentries is known as the matrix completion problem. It arises ina wide range of problems, including recommender systems…