Common singular spectrum analysis of several time series

DOI10.1016/J.JSPI.2009.07.009MaRDI QIDQ1036726zbMATH OpenOpenAlexFDO

Authors J. Blot

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

zbMATH Keywords

common principal componentssingular value decompositionsingular spectrum analysishierachical selection

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Singular spectrum analysis for time series.
• Analysis of time series structure. SSA and related techniques
• A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis
• Singular spectrum analysis for time series: Introduction to this special issue
• Singular spectrum analysis for time series

Cites work

• scientific article; zbMATH DE number 41813 (Why is no real title available?)
• scientific article; zbMATH DE number 723987 (Why is no real title available?)
• An Algorithm for Simultaneous Orthogonal Transformation of Several Positive Definite Symmetric Matrices to Nearly Diagonal Form
• Analysis of time series structure. SSA and related techniques
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Extracting qualitative dynamics from experimental data
• Mapping the channels of communication between the tropics and higher latitudes in the atmosphere
• Statistical analysis of cointegration vectors
• Time series analysis. Univariate and multivariate methods.

Cited in

(9)

• Singular spectrum analysis for time series: Introduction to this special issue
• Detecting Oscillations Hidden in Noise: Common Cycles in Atmospheric, Geomagnetic and Solar Data
• Minute-ahead stock price forecasting based on singular spectrum analysis and support vector regression
• Dependence measures for model selection in singular spectrum analysis
• Singular spectrum analysis for time series
• Analysis of time series structure. SSA and related techniques
• A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis
• Singular spectrum time–series analysis and continuous transformation groups
• Designing a framework to improve time series data of construction projects: application of a simulation model and singular spectrum analysis

Describes a project that uses

Uses Software

• CaterpillarSSA

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