On Singular Spectrum Analysis And Stepwise Time Series Reconstruction
DOI10.1111/jtsa.12479zbMath1442.62204OpenAlexW2961979763MaRDI QIDQ5111778
Publication date: 27 May 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12479
singular value decompositionunobserved componentsWold decompositionprinciple componentsGrenander processre-scaled trajectory matrixsignal-noise reconstruction
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) Nonparametric statistical resampling methods (62G09)
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Cites Work
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