Approximate Projectors in Singular Spectrum Analysis
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Publication:4443781
DOI10.1137/S0895479801398967zbMath1037.15010OpenAlexW2004912077WikidataQ59843936 ScholiaQ59843936MaRDI QIDQ4443781
Karl Michael Schmidt, Valentina G. Moskvina
Publication date: 18 January 2004
Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0895479801398967
algorithmsingular-value decompositionsingular spectrum analysisspectral projectornoise-reductiontime-series forecastinglag-covariance matrix
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Eigenvalues, singular values, and eigenvectors (15A18)
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