Semi-nonparametric singular spectrum analysis with projection

DOI10.4310/SII.2017.V10.N1.A5MaRDI QIDQ1748617zbMATH OpenOpenAlexWikidataFDO

Authors Nina Golyandina, Alex Shlemov

Publication date 14 May 2018

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.05286

zbMATH Keywords

regressionseparabilitytime series decomposition

Mathematics Subject Classification ID

Nonparametric estimation (62G05) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and spectral analysis (62M15)

Abstract: Singular spectrum analysis (SSA) is considered for decomposition of time series into identifiable components. The Basic SSA method is nonparametric and constructs an adaptive expansion based on singular value decomposition. The investigated modification is able to take into consideration a structure given in advance and therefore can be called semi-nonparametric. The approach called SSA with projection includes preliminary projections of rows and columns of the series trajectory matrix to given subspaces. One application of SSA with projection is the extraction of polynomial trends, e.g., a linear trend. It is shown that SSA with projection can extract polynomial trends much better than Basic SSA, especially for linear trends. Numerical examples including comparison with the least-square approach to polynomial regression are presented.

Recommendations

• Approximate Projectors in Singular Spectrum Analysis
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Cited in

(12)

• On singular spectrum analysis and stepwise time series reconstruction
• Variations of singular spectrum analysis for separability improvement: non-orthogonal decompositions of time series
• A method of trend extraction using singular spectrum analysis
• A review of some modern approaches to the problem of trend extraction
• Singular Spectrum Analysis with R
• Constructing trends of time series segments
• ESPRIT for Multidimensional General Grids
• Particularities and commonalities of singular spectrum analysis as a method of time series analysis and signal processing
• Singular spectrum analysis for time series.
• Approximate Projectors in Singular Spectrum Analysis
• Improvement of separability of time series in singular spectrum analysis using the method of independent component analysis
• Multivariate posterior singular spectrum analysis

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