The benefits of multivariate singular spectrum analysis over the univariate version

DOI10.1016/J.JFRANKLIN.2017.09.008MaRDI QIDQ681209zbMATH OpenOpenAlexWikidataFDO

Authors Paulo Canas Rodrigues, Rahim Mahmoudvand

Publication date 30 January 2018

Published in Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jfranklin.2017.09.008

zbMATH Keywords

time series analysismultivariate versionsingular spectrum analysis (SSA)

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Eigenvalue problems (93B60)

Recommendations

• Multivariate posterior singular spectrum analysis
• Singular spectrum analysis based on the minimum variance estimator
• Variations of singular spectrum analysis for separability improvement: non-orthogonal decompositions of time series
• Discriminant Analysis with Singular Covariance Matrices: Methods and Applications to Spectroscopic Data
• A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis
• A unified view of multitaper multivariate spectral estimation
• On the choice of parameters in singular spectrum analysis and related subspace-based methods
• Statistical dimension estimation in singular spectrum analysis

Cites work

• scientific article; zbMATH DE number 3810550 (Why is no real title available?)
• A new approach for selecting the number of the eigenvalues in singular spectrum analysis
• Analysis of time series structure. SSA and related techniques
• Embedology
• Forecasting mortality rate by multivariate singular spectrum analysis
• Forecasting mortality rate by singular spectrum analysis
• Multivariate singular spectrum analysis for forecasting revisions to real-time data
• On the singular values of the Hankel matrix with application in singular spectrum analysis
• Separability and window length in singular spectrum analysis
• Singular spectrum analysis for time series.
• Spectral modeling of time series with missing data
• selection of window length for singular spectrum analysis

Cited in

(6)

• Randomized singular spectrum analysis for long time series
• A new approach for the vector forecast algorithm in singular spectrum analysis
• On singular spectrum analysis and stepwise time series reconstruction
• Estimating multi-country prosperity index: a two-dimensional singular spectrum analysis approach
• Multivariate posterior singular spectrum analysis
• On the empirical spectral distribution of lag-covariance matrix in singular spectrum analysis

Describes a project that uses

Uses Software

• CaterpillarSSA

This page was built for publication: The benefits of multivariate singular spectrum analysis over the univariate version

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q681209)