A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis

DOI10.1080/03610918.2016.1217010zbMATH Open1462.62557OpenAlexW2518983853MaRDI QIDQ4607341FDOQ4607341

Authors Helena Viljoen 

Publication date 13 March 2018

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2016.1217010

zbMATH Keywords

multivariate time seriessingular value decompositionsignal estimationstepwise common principal components simulation

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 41813 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• Analysis of time series structure. SSA and related techniques
• Common singular spectrum analysis of several time series
• Forecasting UK Industrial Production with Multivariate Singular Spectrum Analysis
• On the optimal parameters for reconstruction and forecasting in singular spectrum analysis
• Separability and window length in singular spectrum analysis
• Singular spectrum analysis for time series.
• Stepwise estimation of common principal components

Cited in

(3)

• Forecasting daily exchange rates: a comparison between SSA and MSSA
• Common singular spectrum analysis of several time series
• The benefits of multivariate singular spectrum analysis over the univariate version

Describes a project that uses

Uses Software

• R
• Rssa
• CaterpillarSSA

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