On the Optimal Parameters for Reconstruction and Forecasting in Singular Spectrum Analysis

DOI10.1080/03610918.2012.659822zbMath1433.62265OpenAlexW2044421505MaRDI QIDQ4921603

Rahim Mahmoudvand, Nader Najari, Mohammad Zokaei

Publication date: 13 May 2013

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

Full work available at URL: https://doi.org/10.1080/03610918.2012.659822

zbMATH Keywords

singular spectrum analysiswindow lengthcut of point

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

Related Items (6)

selection of window length for singular spectrum analysis ⋮ A new approach for the vector forecast algorithm in singular spectrum analysis ⋮ A robust method for coherent and non-coherent source number detection using a special Hankel-based covariance matrix ⋮ A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis ⋮ Unnamed Item ⋮ Combining singular spectrum analysis and \(\mathrm{PAR}(p)\) structures to model wind speed time series

Cites Work

• On the choice of parameters in singular spectrum analysis and related subspace-based methods
• Separability and window length in singular spectrum analysis
• Nonparametric curve estimation from time series

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