Filtering and frequency interpretations of singular spectrum analysis

DOI10.1016/j.physd.2010.07.005zbMath1198.94045OpenAlexW2013884425MaRDI QIDQ602733

T. J. Harris, Hui Yuan

Publication date: 5 November 2010

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physd.2010.07.005

zbMATH Keywords

Toeplitz matrixsingular spectrum analysisconvolution filtereigenfilterpersymmetric matrixzero-phase filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15) Signal detection and filtering (aspects of stochastic processes) (60G35) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items (2)

Singular Spectrum Analysis and Circulant Maximum Variance Frames ⋮ Dependence measures for model selection in singular spectrum analysis

Uses Software

• sapa
• CaterpillarSSA

Cites Work

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• The SVD and reduced rank signal processing
• Singular spectrum analysis in nonlinear dynamics, with applications to paleoclimatic time series
• Extracting qualitative dynamics from experimental data
• A structured low-rank matrix pencil for spectral estimation and system identification
• Eigenvalues and eigenvectors of symmetric centrosymmetric matrices
• Data-adaptive wavelets and multi-scale singular-spectrum analysis
• Structured low rank approximation
• Spectral Analysis for Physical Applications
• Signal enhancement-a composite property mapping algorithm
• Properties of the Eigenvectors of Persymmetric Matrices with Applications to Communication Theory
• Application of structured total least squares for system identification and model reduction

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