Difference-based methods for truncating the singular value decomposition
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Cites work
- Distribution of the Ratio of the Mean Square Successive Difference to the Variance
- Extracting qualitative dynamics from experimental data
- Foundations of time series analysis and prediction theory
- Local Regression and Likelihood
- Modeling daily realized futures volatility with singular spectrum analysis
- On the choice of parameters in singular spectrum analysis and related subspace-based methods
- Residual variance and residual pattern in nonlinear regression
- Separability and window length in singular spectrum analysis
- Singular spectrum analysis based on the minimum variance estimator
- Singular spectrum analysis for time series.
- The Estimation of the Prediction Error Variance
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