Name
Abstract | ||
|---|---|---|
We consider the problem of time series prediction in the presence of missing data. We cast the problem as an online learning problem in which the goal of the learner is to minimize prediction error. We then devise an efficient algorithm for the problem, which is based on autoregressive model, and does not assume any structure on the missing data nor on the mechanism that generates the time series. We show that our algorithm's performance asymptotically approaches the performance of the best AR predictor in hindsight, and corroborate the theoretic results with an empirical study on synthetic and real-world data. |
Year | Venue | Field |
|---|---|---|
2015 | International Conference on Machine Learning | Online learning,Time series,Autoregressive model,Mean squared prediction error,Computer science,Artificial intelligence,Problem of time,Missing data,Hindsight bias,Machine learning,Empirical research |
DocType | Citations | PageRank |
Conference | 18 | 0.81 |
References | Authors | |
7 | 3 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Oren Anava | 1 | 70 | 4.86 |
| Elad Hazan | 2 | 1619 | 111.90 |
| Assaf Zeevi | 3 | 750 | 52.23 |