Improvement of separability of time series in singular spectrum analysis using the method of independent component analysis

DOI10.3103/S1063454116010064zbMath1396.62204OpenAlexW2362187554MaRDI QIDQ2404746

M. A. Lomtev, N. Eh. Golyandina

Publication date: 20 September 2017

Published in: Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1063454116010064

zbMATH Keywords

time seriesindependent component analysisseparabilitysingular spectrum analysis

Mathematics Subject Classification ID

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

Uses Software

• CaterpillarSSA

Cites Work

• Unnamed Item
• On signal and extraneous roots in singular spectrum analysis
• Singular spectrum analysis for time series.
• Variations of singular spectrum analysis for separability improvement: non-orthogonal decompositions of time series
• Indeterminacy and identifiability of blind identification

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