On the choice of parameters in singular spectrum analysis and related subspace-based methods

DOI10.4310/SII.2010.v3.n3.a2zbMath1245.62108arXiv1005.4374WikidataQ60627733 ScholiaQ60627733MaRDI QIDQ440224

Nina Golyandina

Publication date: 18 August 2012

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.4374

Mathematics Subject Classification ID

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Basic singular spectrum analysis and forecasting with R ⋮ Difference-based Methods for Truncating the Singular Value Decomposition ⋮ A new approach for the vector forecast algorithm in singular spectrum analysis ⋮ Remark on the accuracy of recurrent forecasting in singular spectrum analysis ⋮ On Singular Spectrum Analysis And Stepwise Time Series Reconstruction ⋮ Multivariate posterior singular spectrum analysis ⋮ Stochastic algorithms for solving structured low-rank matrix approximation problems ⋮ Optimization challenges in the structured low rank approximation problem ⋮ Optimal rank-1 Hankel approximation of matrices: Frobenius norm and spectral norm and Cadzow's algorithm ⋮ On the Optimal Parameters for Reconstruction and Forecasting in Singular Spectrum Analysis ⋮ A Note on Window Length Selection in Singular Spectrum Analysis ⋮ Posterior singular spectrum analysis ⋮ Moment tests for window length selection in singular spectrum analysis of short- and long-memory processes

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