On singular spectrum analysis and stepwise time series reconstruction

DOI10.1111/JTSA.12479zbMATH Open1442.62204OpenAlexW2961979763MaRDI QIDQ5111778FDOQ5111778

D. S. Poskitt

Publication date: 27 May 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12479

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zbMATH Keywords

singular value decompositionunobserved componentsWold decompositionprinciple componentsGrenander processre-scaled trajectory matrixsignal-noise reconstruction

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and spectral analysis (62M15)

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• Signal Identification in Singular Spectrum Analysis
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• Semi-nonparametric singular spectrum analysis with projection
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Cited In (9)

• Reconstruction of diffusion using spectral data from time series
• The Sliding Singular Spectrum Analysis: A Data-Driven Nonstationary Signal Decomposition Tool
• Singular spectrum analysis for time series: Introduction to this special issue
• Approximate Projectors in Singular Spectrum Analysis
• The problem of processing time series: extending possibilities of the local approximation method using singular spectrum analysis
• Singular spectrum time–series analysis and continuous transformation groups
• Bootstrapping non-stationary and irregular time series using singular spectral analysis
• Singular spectrum analysis for time series
• On the Empirical Spectral Distribution of Lag-Covariance Matrix in Singular Spectrum Analysis

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