A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis

DOI10.1080/03610918.2016.1217010zbMath1462.62557OpenAlexW2518983853MaRDI QIDQ4607341

Helena Viljoen

Publication date: 13 March 2018

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1217010

zbMATH Keywords

singular value decompositionmultivariate time seriessignal estimationstepwise common principal components simulation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Uses Software

• R
• Rssa
• CaterpillarSSA

Cites Work

• Separability and window length in singular spectrum analysis
• Singular spectrum analysis for time series.
• Common singular spectrum analysis of several time series
• Stepwise estimation of common principal components
• Forecasting UK Industrial Production with Multivariate Singular Spectrum Analysis
• On the Optimal Parameters for Reconstruction and Forecasting in Singular Spectrum Analysis
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis