Multivariate posterior singular spectrum analysis

DOI10.1007/s10260-016-0372-9zbMath1384.62296OpenAlexW2539472845MaRDI QIDQ1697862

Ilkka Launonen, Lasse Holmström

Publication date: 20 February 2018

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: http://urn.fi/urn:nbn:fi-fe2019041011866

zbMATH Keywords

time seriesBayesian inferencemultivariateSSAclimate index

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Bayesian inference (62F15) Inference from stochastic processes and spectral analysis (62M15)

Uses Software

• Rssa
• CaterpillarSSA

Cites Work

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• On the choice of parameters in singular spectrum analysis and related subspace-based methods
• Computation- and space-efficient implementation of SSA
• Singular spectrum analysis based on the perturbation theory
• Singular spectrum analysis for time series.
• Extracting qualitative dynamics from experimental data
• Posterior singular spectrum analysis
• Bayesian analysis of features in a scatter plot with dependent observations and errors in predictors

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