Singular spectrum analysis based on the minimum variance estimator

DOI10.1016/J.NONRWA.2009.05.009MaRDI QIDQ974625zbMATHOpenAlexFDO

Authors Hossein Hassani

Publication date 3 June 2010

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

Full work available at URL https://doi.org/10.1016/j.nonrwa.2009.05.009

zbMATH Keywords

forecastingleast squaresreconstructionminimum variancesingular spectrum analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15)

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• Singular spectrum analysis for time series.
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Cites work

• scientific article; zbMATH DE number 47363 (Why is no real title available?)
• scientific article; zbMATH DE number 782103 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• An Algorithm Based on Singular Spectrum Analysis for Change-Point Detection
• Analysis of time series structure. SSA and related techniques
• Extracting qualitative dynamics from experimental data
• Introduction to Time Series and Forecasting
• Mapping the channels of communication between the tropics and higher latitudes in the atmosphere
• Signal enhancement-a composite property mapping algorithm
• The ``Caterpillar-SSA method for analysis of time series with missing values
• The singular value decomposition and long and short spaces of noisy matrices

Cited in

(21)

• Introduction to this special issue
• On the choice of parameters in singular spectrum analysis and related subspace-based methods
• Spatio-temporal predictions using multivariate singular spectrum analysis
• Discriminant Analysis with Singular Covariance Matrices: Methods and Applications to Spectroscopic Data
• Singular Spectrum Analysis with R
• selection of window length for singular spectrum analysis
• Forecasting mortality rate by singular spectrum analysis
• A method for fast and robust sungular spectrum analysis
• A study of singular spectrum analysis with global optimization techniques
• The benefits of multivariate singular spectrum analysis over the univariate version
• Basic singular spectrum analysis and forecasting with R
• Singular spectrum analysis based on the perturbation theory
• Jensen-Marshall-Ky Fan-type inequalities and their applications in business profit management model
• The ``Caterpillar-SSA method for analysis of time series with missing values
• Singular spectrum analysis (SSA) based hybrid models for emergency ambulance demand (EAD) time series forecasting
• A novel signal extraction approach for filtering and forecasting noisy exponential series
• Estimating multi-country prosperity index: a two-dimensional singular spectrum analysis approach
• Difference-based methods for truncating the singular value decomposition
• Multivariate posterior singular spectrum analysis
• An improved SSA forecasting result based on a filtered recurrent forecasting algorithm
• Forecasting before, during, and after recession with singular spectrum analysis

Describes a project that uses

Uses Software

• itsmr
• CaterpillarSSA

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