Common singular spectrum analysis of several time series

DOI10.1016/j.jspi.2009.07.009zbMath1353.62104MaRDI QIDQ1036726

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

singular value decomposition; common principal components; singular spectrum analysis; hierachical selection

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Uses Software

• CaterpillarSSA