Approximate Projectors in Singular Spectrum Analysis

DOI10.1137/S0895479801398967MaRDI QIDQ4443781zbMATH OpenOpenAlexWikidataFDO

Authors Valentina G. Moskvina, Karl Michael Schmidt

Publication date 18 January 2004

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0895479801398967

zbMATH Keywords

algorithmlag-covariance matrixnoise-reductionsingular spectrum analysissingular-value decompositionspectral projectortime-series forecasting

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

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Cited in

(11)

• Computation of pseudospectra via spectral projectors
• On the singular value decomposition, applied in the analysis and prediction of almost periodic signals
• Semi-nonparametric singular spectrum analysis with projection
• Algebraic approach in pseudo-spectra estimation
• Difference-based methods for truncating the singular value decomposition
• scientific article; zbMATH DE number 723987 (Why is no real title available?)
• Cadzow's basic algorithm, alternating projections and singular spectrum analysis
• Computation- and space-efficient implementation of SSA
• scientific article; zbMATH DE number 1928678 (Why is no real title available?)
• A study of singular spectrum analysis with global optimization techniques
• Forecasting before, during, and after recession with singular spectrum analysis

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