The benefits of multivariate singular spectrum analysis over the univariate version

DOI10.1016/J.JFRANKLIN.2017.09.008zbMath1379.37139OpenAlexW2761731804WikidataQ57645634 ScholiaQ57645634MaRDI QIDQ681209

Rahim Mahmoudvand, Paulo Canas Rodrigues

Publication date: 30 January 2018

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2017.09.008

zbMATH Keywords

time series analysismultivariate versionsingular spectrum analysis (SSA)

Mathematics Subject Classification ID

Eigenvalue problems (93B60) Time series analysis of dynamical systems (37M10)

Related Items (2)

A new approach for the vector forecast algorithm in singular spectrum analysis ⋮ Randomized singular spectrum analysis for long time series

Uses Software

• CaterpillarSSA

Cites Work

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• Separability and window length in singular spectrum analysis
• Singular spectrum analysis for time series.
• Embedology
• selection of window length for singular spectrum analysis
• A new approach for selecting the number of the eigenvalues in singular spectrum analysis
• Spectral modeling of time series with missing data
• Forecasting mortality rate by multivariate singular spectrum analysis
• Multivariate singular spectrum analysis for forecasting revisions to real-time data

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