Singular Spectrum Analysis for Time Series

@inproceedings{Zhigljavsky2011SingularSA,
  title={Singular Spectrum Analysis for Time Series},
  author={Anatoly A. Zhigljavsky},
  booktitle={International Encyclopedia of Statistical Science},
  year={2011}
}
Singular spectrum analysis (SSA) is a technique of time series analysis and forecasting. It combines elements of classical time series analysis, multivariate statistics, multivariate geometry, dynamical systems and signal processing. SSA aims at decomposing the original series into a sum of a small number of interpretable components such as a slowly varying trend, oscillatory components and a ‘structureless’ noise. It is based on the singular-value decomposition of a specific matrix constructed… CONTINUE READING
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