On signal and extraneous roots in singular spectrum analysis

@article{Usevich2010OnSA,
  title={On signal and extraneous roots in singular spectrum analysis},
  author={K. Usevich},
  journal={Statistics and Its Interface},
  year={2010},
  volume={3},
  pages={281-295}
}
  • K. Usevich
  • Published 2010
  • Mathematics
  • Statistics and Its Interface
In the present paper we study properties of roots of characteristic polynomials for the linear recurrent formulae (LRF) that govern time series. We also investigate how the values of these roots affect Singular Spectrum Analysis implications, in what concerns separation of components, SSA forecasting and related signal parameter estimation methods. The roots of the characteristic polynomial for an LRF comprise the signal roots, which determine the structure of the time series, and extraneous… Expand
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