On the optimal parameters for reconstruction and forecasting in singular spectrum analysis

DOI10.1080/03610918.2012.659822MaRDI QIDQ4921603zbMATH OpenOpenAlexFDO

Authors Rahim Mahmoudvand, Nader Najari, Mohammad Zokaei

Publication date 13 May 2013

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

Full work available at URL https://doi.org/10.1080/03610918.2012.659822

zbMATH Keywords

singular spectrum analysiswindow lengthcut of point

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

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Cites work

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• On the choice of parameters in singular spectrum analysis and related subspace-based methods
• Separability and window length in singular spectrum analysis

Cited in

(9)

• On the choice of parameters in singular spectrum analysis and related subspace-based methods
• A comparative study of singular spectrum analysis, neural network, ARIMA and exponential smoothing for monthly rainfall forecasting
• A robust method for coherent and non-coherent source number detection using a special Hankel-based covariance matrix
• Combining singular spectrum analysis and \(\mathrm{PAR}(p)\) structures to model wind speed time series
• Vector and recurrent singular spectrum analysis: which is better at forecasting?
• A new approach for the vector forecast algorithm in singular spectrum analysis
• A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis
• Remark on the accuracy of recurrent forecasting in singular spectrum analysis
• selection of window length for singular spectrum analysis

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