Interpretation of singular Spectrum Analysis as Complete eigenfilter Decomposition

@article{Kume2012InterpretationOS,
  title={Interpretation of singular Spectrum Analysis as Complete eigenfilter Decomposition},
  author={Kenji Kume},
  journal={Advances in Adaptive Data Analysis},
  year={2012},
  volume={4}
}
Singular spectrum analysis is a nonparametric and adaptive spectral decomposition of a time series. This method consists of the singular value decomposition for the trajectory matrix constructed from the original time series, followed with the subsequent reconstruction of the decomposed series. In the present paper, we show that these procedures can be viewed simply as complete eigenfilter decomposition of the time series. The eigenfilters are constructed from the singular vectors of the… CONTINUE READING

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