On the singular values of the Hankel matrix with application in singular spectrum analysis

MaRDI QIDQ5207073zbMATH OpenFDO

Authors Rahim Mahmoudvand, Mohammad Zokaei

Publication date 6 January 2020

Full work available at URL http://chjs.mat.utfsm.cl/volumes/03/01/Mahmoudvand_Zokaei(2012).pdf#vol3-number1-2012

zbMATH Keywords

eigenvaluessingular spectrum analysis

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Toeplitz, Cauchy, and related matrices (15B05)

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Cites work

• scientific article; zbMATH DE number 1875877 (Why is no real title available?)
• scientific article; zbMATH DE number 967931 (Why is no real title available?)
• A review on singular spectrum analysis for economic and financial time series
• Analysis of time series structure. SSA and related techniques
• Forecasting UK Industrial Production with Multivariate Singular Spectrum Analysis
• Hankel Matrices
• Matrix Analysis
• Principal component analysis.
• Separability and window length in singular spectrum analysis

Cited in

(9)

• An iterative approach for decomposition of multi-component non-stationary signals based on eigenvalue decomposition of the Hankel matrix
• Discussion on: ``On frequency weighted balanced truncation: Hankel singular values and error bounds
• The benefits of multivariate singular spectrum analysis over the univariate version
• A robust method for coherent and non-coherent source number detection using a special Hankel-based covariance matrix
• A simpler formula for the singular values of a certain Hankel operator
• Empirical comparison of Box-Jenkins models, artificial neural network and singular spectrum analysis in forecasting time series
• Cascading With Inner Systems: Hankel Singular Values and Characteristic Values
• scientific article; zbMATH DE number 221349 (Why is no real title available?)
• A short note on the pattern of the singular values of a scaled random Hankel matrix

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Uses Software

• CaterpillarSSA

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