Automated parameter selection in singular spectrum analysis for time series analysis

DOI10.1080/03610918.2025.2456575MaRDI QIDQ7257479zbMATH OpenFDO

Authors Jim J. Yang, Anne Buu

Publication date 4 June 2026

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2025.2456575

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A note on window length selection in singular spectrum analysis
• ARPACK Users' Guide
• Distribution of eigenvalues for the ensemble of real symmetric Toeplitz matrices
• scientific article; zbMATH DE number 5299676 (Why is no real title available?)
• Limiting spectral distribution of a special circulant
• Moment tests for window length selection in singular spectrum analysis of short- and long-memory processes
• On the asymptotical separation of linear signals from harmonics by singular spectrum analysis
• On the optimal parameters for reconstruction and forecasting in singular spectrum analysis
• Particularities and commonalities of singular spectrum analysis as a method of time series analysis and signal processing
• Separability and window length in singular spectrum analysis
• Singular spectrum analysis for time series
• Singular Spectrum Analysis with R
• Spectral measure of large random Hankel, Markov and Toeplitz matrices

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