Separability and window length in singular spectrum analysis

DOI10.1016/J.CRMA.2011.07.012MaRDI QIDQ640900zbMATHOpenAlexFDO

Authors Hossein Hassani, Rahim Mahmoudvand, Mohammad Zokaei

Publication date 21 October 2011

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2011.07.012

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• A review on singular spectrum analysis for economic and financial time series
• Analysis of time series structure. SSA and related techniques
• Mapping the channels of communication between the tropics and higher latitudes in the atmosphere
• Singular spectrum analysis for time series: Introduction to this special issue

Cited in

(19)

• A new approach for the vector forecast algorithm in singular spectrum analysis
• A new approach for selecting the number of the eigenvalues in singular spectrum analysis
• On the optimal parameters for reconstruction and forecasting in singular spectrum analysis
• Moment tests for window length selection in singular spectrum analysis of short- and long-memory processes
• selection of window length for singular spectrum analysis
• Selection of window length in singular spectrum analysis of a time series
• A study of singular spectrum analysis with global optimization techniques
• The benefits of multivariate singular spectrum analysis over the univariate version
• Against the long-range spectral leakage of the cosine window family
• Empirical comparison of Box-Jenkins models, artificial neural network and singular spectrum analysis in forecasting time series
• On the singular values of the Hankel matrix with application in singular spectrum analysis
• Vector and recurrent singular spectrum analysis: which is better at forecasting?
• A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis
• A note on window length selection in singular spectrum analysis
• Combining singular spectrum analysis and \(\mathrm{PAR}(p)\) structures to model wind speed time series
• Exchange rate forecasting with optimum singular spectrum analysis
• Difference-based methods for truncating the singular value decomposition
• Designing a framework to improve time series data of construction projects: application of a simulation model and singular spectrum analysis
• Forecasting before, during, and after recession with singular spectrum analysis

Describes a project that uses

Uses Software

• CaterpillarSSA

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