Singular spectrum analysis based on the minimum variance estimator

DOI10.1016/j.nonrwa.2009.05.009zbMath1188.62278OpenAlexW2098166693MaRDI QIDQ974625

Hossein Hassani

Publication date: 3 June 2010

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2009.05.009

zbMATH Keywords

minimum varianceleast squaresforecastingreconstructionsingular spectrum analysis

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (7)

Difference-based Methods for Truncating the Singular Value Decomposition ⋮ selection of window length for singular spectrum analysis ⋮ Singular spectrum analysis based on the perturbation theory ⋮ Forecasting before, during, and after recession with singular spectrum analysis ⋮ A study of singular spectrum analysis with global optimization techniques ⋮ A novel signal extraction approach for filtering and forecasting noisy exponential series ⋮ Estimating multi-country prosperity index: a two-dimensional singular spectrum analysis approach

Uses Software

• itsmr
• CaterpillarSSA

Cites Work

• The ``Caterpillar-SSA method for analysis of time series with missing values
• Extracting qualitative dynamics from experimental data
• Mapping the channels of communication between the tropics and higher latitudes in the atmosphere
• Signal enhancement-a composite property mapping algorithm
• The singular value decomposition and long and short spaces of noisy matrices
• Introduction to Time Series and Forecasting
• An Algorithm Based on Singular Spectrum Analysis for Change-Point Detection
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