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

DOI10.1080/03610918.2012.659822zbMATH Open1433.62265OpenAlexW2044421505MaRDI QIDQ4921603FDOQ4921603

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

Recommendations

• On the choice of parameters in singular spectrum analysis and related subspace-based methods
• A note on window length selection in singular spectrum analysis
• Separability and window length in singular spectrum analysis
• A new parsimonious recurrent forecasting model in singular spectrum analysis
• On singular spectrum analysis and stepwise time series reconstruction

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)

Cites Work

• Nonparametric curve estimation from time series
• 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
• Vector and recurrent singular spectrum analysis: which is better at forecasting?
• Combining singular spectrum analysis and \(\mathrm{PAR}(p)\) structures to model wind speed time series
• 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

This page was built for publication: On the optimal parameters for reconstruction and forecasting in singular spectrum analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4921603)