Singular spectrum analysis based on the perturbation theory

DOI10.1016/J.NONRWA.2011.03.020MaRDI QIDQ635237zbMATH OpenOpenAlexFDO

Authors Hossein Hassani, Zhengyuan Xu, A. Zhigljavsky

Publication date 19 August 2011

Published in Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.nonrwa.2011.03.020

zbMATH Keywords

forecastingperturbation theoryreconstructionsingular spectrum analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 47363 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• A review on singular spectrum analysis for economic and financial time series
• A test for independence based on the correlation dimension
• Analysis of time series structure. SSA and related techniques
• Entropy-based independence test
• Extracting fetal heart signal from noisy maternal ECG by multivariate singular spectrum analysis
• Extracting qualitative dynamics from experimental data
• Introduction to Time Series and Forecasting
• Noise in unspecified, nonlinear time series
• Perturbation expansions of signal subspaces for long signals
• Predicting daily exchange rate with singular spectrum analysis
• Signal enhancement-a composite property mapping algorithm
• Singular spectrum analysis based on the minimum variance estimator
• The sample autocorrelations of financial time series models
• USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS

Cited in

(17)

• Modeling daily realized futures volatility with singular spectrum analysis
• Multivariate posterior singular spectrum analysis
• A novel signal extraction approach for filtering and forecasting noisy exponential series
• On perturbation stability of SSA and MSSA forecasts and the supportiveness of time series
• Assessing the stability of long-horizon SSA forecasting
• On the choice of parameters in singular spectrum analysis and related subspace-based methods
• Perturbation expansions of signal subspaces for long signals
• Particularities and commonalities of singular spectrum analysis as a method of time series analysis and signal processing
• Singular spectrum analysis based on the minimum variance estimator
• A method for fast and robust sungular spectrum analysis
• Fault-tolerant filter design with quantized measurements
• Forecasting before, during, and after recession with singular spectrum analysis
• Dynamical analysis and perturbation solution of an SEIR epidemic model
• Separability and window length in singular spectrum analysis
• Blind source separation from single measurements using singular spectrum analysis
• Denoising method based on singular spectrum analysis and its applications in calculation of maximal Lyapunov exponent
• selection of window length for singular spectrum analysis

Describes a project that uses

Uses Software

• CaterpillarSSA
• itsmr

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