A Note on Window Length Selection in Singular Spectrum Analysis

DOI10.1111/anzs.12027zbMath1337.62288OpenAlexW2047154124MaRDI QIDQ2802834

M. Atikur Rahman Khan, D. S. Poskitt

Publication date: 27 April 2016

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/anzs.12027

zbMATH Keywords

mean squared errorembeddingdimensionforecastingwindow lengthtime series reconstructionsignal-noise separation

Mathematics Subject Classification ID

Related Items (4)

Vector and recurrent singular spectrum analysis: which is better at forecasting? ⋮ On Singular Spectrum Analysis And Stepwise Time Series Reconstruction ⋮ Unnamed Item ⋮ Dependence measures for model selection in singular spectrum analysis

Cites Work

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• Extracting qualitative dynamics from experimental data
• Moment tests for window length selection in singular spectrum analysis of short- and long-memory processes
• Karhunen-Loeve Analysis of Historical Time Series With an Application to Plantation Births in Jamaica
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Nonparametric Estimation of Covariance Structure in Longitudinal Data
• Some inequalities on characteristic roots of matrices
• Functional Data Analysis for Sparse Longitudinal Data

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