Randomized singular spectrum analysis for long time series

DOI10.1080/00949655.2018.1462810OpenAlexW2800634330WikidataQ57645627 ScholiaQ57645627MaRDI QIDQ4960655

Pétala G. S. E. Tuy, Rahim Mahmoudvand, Paulo Canas Rodrigues

Publication date: 23 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2018.1462810

zbMATH Keywords

time seriessingular spectrum analysisrandomized singular value decomposition

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)

Related Items (1)

Editorial

Uses Software

• CaterpillarSSA

Cites Work

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• Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions
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• Singular spectrum analysis for time series.
• Spectral modeling of time series with missing data
• Introduction to this special issue
• A Randomized Algorithm for Principal Component Analysis
• Forecasting mortality rate by multivariate singular spectrum analysis
• Forecasting UK Industrial Production with Multivariate Singular Spectrum Analysis
• A new parsimonious recurrent forecasting model in singular spectrum analysis

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