Common singular spectrum analysis of several time series
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Publication:1036726
DOI10.1016/j.jspi.2009.07.009zbMath1353.62104OpenAlexW2088308185MaRDI QIDQ1036726
Publication date: 13 November 2009
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2009.07.009
singular value decompositioncommon principal componentssingular spectrum analysishierachical selection
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (4)
Minute-ahead stock price forecasting based on singular spectrum analysis and support vector regression ⋮ A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis ⋮ Designing a framework to improve time series data of construction projects: application of a simulation model and singular spectrum analysis ⋮ Dependence measures for model selection in singular spectrum analysis
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Cites Work
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