Common singular spectrum analysis of several time series

DOI10.1016/j.jspi.2009.07.009zbMath1353.62104OpenAlexW2088308185MaRDI QIDQ1036726

J. Blot

Publication date: 13 November 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.07.009

zbMATH Keywords

singular value decompositioncommon principal componentssingular spectrum analysishierachical selection

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Minute-ahead stock price forecasting based on singular spectrum analysis and support vector regression ⋮ A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis ⋮ Designing a framework to improve time series data of construction projects: application of a simulation model and singular spectrum analysis ⋮ Dependence measures for model selection in singular spectrum analysis

Uses Software

• CaterpillarSSA

Cites Work

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• Extracting qualitative dynamics from experimental data
• Statistical analysis of cointegration vectors
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• Co-Integration and Error Correction: Representation, Estimation, and Testing
• An Algorithm for Simultaneous Orthogonal Transformation of Several Positive Definite Symmetric Matrices to Nearly Diagonal Form
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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