Randomized singular spectrum analysis for long time series

DOI10.1080/00949655.2018.1462810MaRDI QIDQ4960655zbMATH OpenOpenAlexWikidataFDO

Authors Pétala G. S. E. Tuy, Rahim Mahmoudvand, Paulo Canas Rodrigues

Publication date 23 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2018.1462810

zbMATH Keywords

randomized singular value decompositionsingular spectrum analysistime series

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)

Cites work

• A new parsimonious recurrent forecasting model in singular spectrum analysis
• A randomized algorithm for principal component analysis
• A review on singular spectrum analysis for economic and financial time series
• Analysis of time series structure. SSA and related techniques
• Finding structure with randomness: probabilistic algorithms for constructing approximate matrix decompositions
• Forecasting mortality rate by multivariate singular spectrum analysis
• Forecasting mortality rate by singular spectrum analysis
• Forecasting UK Industrial Production with Multivariate Singular Spectrum Analysis
• scientific article; zbMATH DE number 1953870 (Why is no real title available?)
• Introduction to this special issue
• Singular spectrum analysis for time series.
• Singular spectrum analysis for time series: Introduction to this special issue
• Spectral modeling of time series with missing data
• The benefits of multivariate singular spectrum analysis over the univariate version

Cited in

(6)

• Singular spectrum analysis for time series
• Singular Spectrum Analysis with R
• Singular spectrum analysis for time series: Introduction to this special issue
• Editorial
• Robust singular spectrum analysis: comparison between classical and robust approaches for model fit and forecasting
• The problem of processing time series: extending possibilities of the local approximation method using singular spectrum analysis

Describes a project that uses

Uses Software

• CaterpillarSSA

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