Semi-nonparametric singular spectrum analysis with projection

@article{Golyandina2015SeminonparametricSS,
  title={Semi-nonparametric singular spectrum analysis with projection},
  author={N. Golyandina and Alexander Shlemov},
  journal={arXiv: Methodology},
  year={2015}
}
Singular spectrum analysis (SSA) is considered for decomposition of time series into identifiable components. The Basic SSA method is nonparametric and constructs an adaptive expansion based on singular value decomposition. The investigated modification is able to take into consideration a structure given in advance and therefore can be called semi-nonparametric. The approach called SSA with projection includes preliminary projections of rows and columns of the series trajectory matrix to given… Expand

Figures from this paper

References

SHOWING 1-10 OF 30 REFERENCES
Shaped extensions of singular spectrum analysis
Singular Spectrum Analysis for Time Series
  • A. Zhigljavsky
  • Mathematics, Computer Science
  • International Encyclopedia of Statistical Science
  • 2011
On signal and extraneous roots in singular spectrum analysis
Multivariate and 2D Extensions of Singular Spectrum Analysis with the Rssa Package
Basic Singular Spectrum Analysis and forecasting with R
Analysis of Time Series Structure - SSA and Related Techniques
...
1
2
3
...