Singular spectrum analysis for time series

DOI10.1007/978-3-662-62436-4zbMath1453.62007OpenAlexW1563281071MaRDI QIDQ2212844

Anatoly A. Zhigljavsky, Nina Golyandina

Publication date: 26 November 2020

Published in: SpringerBriefs in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-662-62436-4

zbMATH Keywords

time seriessingular spectrum analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (5)

Singular Spectrum Analysis and Circulant Maximum Variance Frames ⋮ On the asymptotical separation of linear signals from harmonics by singular spectrum analysis ⋮ Remark on the accuracy of recurrent forecasting in singular spectrum analysis ⋮ Asymptotical separation of harmonics by singular spectrum analysis ⋮ Search for weights in the problem of finite-rank signal estimation in the presence of random noise

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