Basic singular spectrum analysis and forecasting with R
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Software, source code, etc. for problems pertaining to statistics (62-04) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)
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
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Cited in
(17)- Modeling daily realized futures volatility with singular spectrum analysis
- Special issue on statistical algorithms and software in R
- Swarm intelligence-based hybrid models for short-term power load prediction
- Analyzing and forecasting financial series with singular spectral analysis
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- Singular Spectrum Analysis with R
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- A new parsimonious recurrent forecasting model in singular spectrum analysis
- Vector and recurrent singular spectrum analysis: which is better at forecasting?
- Forecasting mortality rate by singular spectrum analysis
- New developments in the forecasting of monthly overnight stays in the north region of Portugal
- Remark on the accuracy of recurrent forecasting in singular spectrum analysis
- Analysis of temperature and humidity in Oman using singular spectrum analysis
- Improved short-term point and interval forecasts of the daily maximum tropospheric ozone levels via singular spectrum analysis
- Utilizing trajectory matrices and singular value decomposition (SVD) for multivariate transformation in time series analysis
- Carbon trading and COVID-19: a hybrid machine learning approach for international carbon price forecasting
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