Spectral modeling of time series with missing data

DOI10.1016/j.apm.2012.09.040zbMath1426.62265OpenAlexW1998569958WikidataQ57645663 ScholiaQ57645663MaRDI QIDQ1667751

Miguel de Carvalho, Paulo Canas Rodrigues

Publication date: 30 August 2018

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2012.09.040

zbMATH Keywords

time series analysismissing dataKarhunen-Loève decompositionsingular spectrum analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Data-driven reconstruction of nonlinear dynamics from sparse observation ⋮ The benefits of multivariate singular spectrum analysis over the univariate version ⋮ Randomized singular spectrum analysis for long time series

Uses Software

• Amelia
• zoo
• CaterpillarSSA
• bootlib

Cites Work

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• Singular spectrum analysis in nonlinear dynamics, with applications to paleoclimatic time series
• The ``Caterpillar-SSA method for analysis of time series with missing values
• Extracting qualitative dynamics from experimental data
• Karhunen-Loeve Analysis of Historical Time Series With an Application to Plantation Births in Jamaica
• On the Eigenvalues of a Class of Integral Equations Arising in Laser Theory

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