A study of singular spectrum analysis with global optimization techniques

DOI10.1007/S10898-013-0117-3zbMATH Open1310.90089DBLPjournals/jgo/ChuLW14OpenAlexW2079549129WikidataQ57440734 ScholiaQ57440734MaRDI QIDQ480832FDOQ480832

Authors: Moody T. Chu, Matthew M. Lin, Liqi Wang

Publication date: 11 December 2014

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-013-0117-3

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zbMATH Keywords

low rank approximation time series global optimization Hankel operator singular spectrum analysis semi-infinite matrix Vandermonde factorization

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Nonconvex programming, global optimization (90C26)

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Predicting daily exchange rate with singular spectrum analysis

Cited In (5)

Computation- and space-efficient implementation of SSA
On the choice of parameters in singular spectrum analysis and related subspace-based methods
Global spectral analysis of three-time level integration schemes: focusing phenomenon
An Optimized Algorithm for the Evaluation of Local Singularity Exponents in Digital Signals
Dependence measures for model selection in singular spectrum analysis

Uses Software

LGO
itsmr
CaterpillarSSA

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