Basic singular spectrum analysis and forecasting with R

DOI10.1016/J.CSDA.2013.04.009MaRDI QIDQ1621374zbMATH OpenOpenAlexWikidataFDO

Authors Nina Golyandina, Anton Korobeynikov

Publication date 8 November 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.6910

zbMATH Keywords

forecastingtime seriestime series analysissingular spectrum analysisfrequency estimation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Software, source code, etc. for problems pertaining to statistics (62-04) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15)

Abstract: Singular Spectrum Analysis (SSA) as a tool for analysis and forecasting of time series is considered. The main features of the Rssa package, which implements the SSA algorithms and methodology in R, are described and examples of its use are presented. Analysis, forecasting and parameter estimation are demonstrated by means of case study with an accompanying code in R.

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Cites work

• scientific article; zbMATH DE number 4150052 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
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Cited in

(15)

• Modeling daily realized futures volatility with singular spectrum analysis
• Special issue on statistical algorithms and software in R
• Singular Spectrum Analysis with R
• Forecasting mortality rate by singular spectrum analysis
• A new parsimonious recurrent forecasting model in singular spectrum analysis
• Assessing the stability of long-horizon SSA forecasting
• Analysis of temperature and humidity in Oman using singular spectrum analysis
• New developments in the forecasting of monthly overnight stays in the north region of Portugal
• Improved short-term point and interval forecasts of the daily maximum tropospheric ozone levels via singular spectrum analysis
• Vector and recurrent singular spectrum analysis: which is better at forecasting?
• Analyzing and forecasting financial series with singular spectral analysis
• Weighted norms in subspace-based methods for time series analysis.
• Remark on the accuracy of recurrent forecasting in singular spectrum analysis
• An improved SSA forecasting result based on a filtered recurrent forecasting algorithm
• Swarm intelligence-based hybrid models for short-term power load prediction

Describes a project that uses

Uses Software

• a-TRLan
• CaterpillarSSA
• Rssa
• Forecast
• zoo
• forecast
• TRLan
• R
• LAPACK

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