On the choice of parameters in Singular Spectrum Analysis and related subspace-based methods

@article{Golyandina2010OnTC,
  title={On the choice of parameters in Singular Spectrum Analysis and related subspace-based methods},
  author={N. Golyandina},
  journal={arXiv: Methodology},
  year={2010}
}
  • N. Golyandina
  • Published 2010
  • Computer Science, Mathematics
  • arXiv: Methodology
In the present paper we investigate methods related to both the Singular Spectrum Analysis (SSA) and subspace-based methods in signal processing. We describe common and specific features of these methods and consider different kinds of problems solved by them such as signal reconstruction, forecasting and parameter estimation. General recommendations on the choice of parameters to obtain minimal errors are provided. We demonstrate that the optimal choice depends on the particular problem. For… Expand
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