A note on window length selection in singular spectrum analysis

DOI10.1111/ANZS.12027MaRDI QIDQ2802834zbMATH OpenOpenAlexFDO

Authors M. Atikur Rahman Khan, D. S. Poskitt

Publication date 27 April 2016

Published in Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/anzs.12027

zbMATH Keywords

forecastingmean squared errorembeddingdimensionwindow lengthtime series reconstructionsignal-noise separation

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 1911755 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Analysis of time series structure. SSA and related techniques
• Extracting qualitative dynamics from experimental data
• Functional Data Analysis for Sparse Longitudinal Data
• Karhunen-Loeve Analysis of Historical Time Series With an Application to Plantation Births in Jamaica
• Moment tests for window length selection in singular spectrum analysis of short- and long-memory processes
• Nonparametric Estimation of Covariance Structure in Longitudinal Data
• On the choice of parameters in singular spectrum analysis and related subspace-based methods
• Singular spectrum analysis in nonlinear dynamics, with applications to paleoclimatic time series
• Some inequalities on characteristic roots of matrices
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(16)

• Statistical dimension estimation in singular spectrum analysis
• Selection of window length in singular spectrum analysis of a time series
• Moment tests for window length selection in singular spectrum analysis of short- and long-memory processes
• On the choice of parameters in singular spectrum analysis and related subspace-based methods
• Particularities and commonalities of singular spectrum analysis as a method of time series analysis and signal processing
• A comparative study of singular spectrum analysis, neural network, ARIMA and exponential smoothing for monthly rainfall forecasting
• Against the long-range spectral leakage of the cosine window family
• Statistical methods for predicting e-cigarette use events based on beat-to-beat interval (BBI) data collected from wearable devices
• A new approach for selecting the number of the eigenvalues in singular spectrum analysis
• Vector and recurrent singular spectrum analysis: which is better at forecasting?
• Separability and window length in singular spectrum analysis
• On the optimal parameters for reconstruction and forecasting in singular spectrum analysis
• On singular spectrum analysis and stepwise time series reconstruction
• Bootstrapping non-stationary and irregular time series using singular spectral analysis
• selection of window length for singular spectrum analysis
• Dependence measures for model selection in singular spectrum analysis

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