Singular spectrum analysis for time series.
Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)
This book is fully devoted to the methodology of a technique for time series analysis and forecasting called singular spectrum analysis (SSA). This technique combines elements of classical time series analysis, multivariate statistics, multivariate geometry, dynamical systems and signal processing. SSA aims at decomposing the original series into a sum of a small number of interpretable components such as a slowly varying trend, oscillatory components and a `structureless' noise. It is based on the singular value decomposition of a specific matrix constructed on the time series. Neither a parametric model nor stationarity-type conditions have to be assumed for the time series. This makes SSA a model-free method and hence enables SSA to have a very wide range of applicability. The authors of the book are well-known statisticians, and specialists in time series analysis. Their previous book joint with \textit{V.V. Nekrutkin} [Analysis of time series structure. SSA and related technques. Boca Raton, FL: Chapman and Hall (2001; Zbl 0978.62073)] has achieved very good reviews and has become a classical reference in the field. Unlike their previous book, the present book does not consider theoretical aspects and only deals with methodology of SSA. It consists of three chapters: (i) An extended introduction with detailed description of the book structure, its topics, and literature reviews, (ii) a chapter devoted to the application of SSA to time series analysis and decomposition of series into separate components, and (iii) a chapter discussing a variety of topics such as forecasting, missing data imputation, parameter estimation and filtration. The main methodological concept within the book is that of separability (that is, possibility of extraction of components from their observed sum). The book summarizes the current state of the art of SSA. In comparison with the previous book of the authors mentioned above, many methodological aspects are extended and several entirely new topics are included. New aspects of separability including the use of Independent Component Analysis are considered. The methods of automatic identification of SSA components for extraction of series components such as trends and periodicities are described. Fast implementation of SSA is also considered, since the quality of implementation strongly influences the methodology. One of SSA's capabilities is its ability to be a frequency filter. The book describes the relation between basic SSA and filtration in a general (not just spectral) form and also considers specific filters generated by basic SSA. In particular, causal SSA, which can also be called last-point SSA, is considered from the viewpoint of causal filters. Moreover, the book considers several new issues related to models of series governed by linear recurrence relations including sums of exponentially-modulated (damped and undamped) sinusoids. It is shown how SSA analysis can be supplemented by series modeling including frequency estimation. SSA forecasting (extrapolation) and missing data imputation (interpolation) are also considered based on the use of the model mentioned above but without direct estimation of the model parameters. Extended recommendations on the choice of SSA forecasting methods and parameters are provided. The circle of potential readers of this book includes professional statisticians and econometricians, specialists in any discipline where problems of time series analysis and forecasting occur, specialists in signal processing and those who need to extract signals from noisy data, Ph.D. students and students working on topics related to time series analysis. I believe that this book is a valuable addition to the literature on time series analysis and will therefore be well received by statisticians and specialists in many other fields interested in the analysis of time series data.
- Common singular spectrum analysis of several time series
- Modeling daily realized futures volatility with singular spectrum analysis
- Basic singular spectrum analysis and forecasting with R
- Pre-processing and transfer entropy measures in motor neurons controlling limb movements
- Multivariate posterior singular spectrum analysis
- A novel signal extraction approach for filtering and forecasting noisy exponential series
- Variations of singular spectrum analysis for separability improvement: non-orthogonal decompositions of time series
- Introduction to this special issue
- On perturbation stability of SSA and MSSA forecasts and the supportiveness of time series
- Semi-nonparametric singular spectrum analysis with projection
- Spatio-temporal predictions using multivariate singular spectrum analysis
- Approximations of the boundary crossing probabilities for the maximum of moving weighted sums
- Forecasting by splitting a time series using singular value decomposition then using both ARMA and A Fokker Planck equation
- Iterative filtering as a direct method for the decomposition of nonstationary signals
- Singular spectrum analysis for time series
- Using multiple time series analysis for geosensor data forecasting
- Improvement of separability of time series in singular spectrum analysis using the method of independent component analysis
- An improved SSA forecasting result based on a filtered recurrent forecasting algorithm
- Approximation of quasiperiodic signal phase trajectory using directional regression
- Analysis of time series structure. SSA and related techniques
- A method of trend extraction using singular spectrum analysis
- Weighted norms in subspace-based methods for time series analysis.
- Singular spectrum time–series analysis and continuous transformation groups
- 2D-extension of singular spectrum analysis: algorithm and elements of theory
- Deconvolution of a discrete uniform distribution
- Singular Spectrum Analysis with R
- Difference-based methods for truncating the singular value decomposition
- Noise correction in gene expression data: a new approach based on subspace method
- Detecting Oscillations Hidden in Noise: Common Cycles in Atmospheric, Geomagnetic and Solar Data
- Statistical dimension estimation in singular spectrum analysis
- Singular systems analysis as a moving-window spectral method
- Singular spectrum analysis for time series: Introduction to this special issue
- On signal and extraneous roots in singular spectrum analysis
- Assessing the stability of long-horizon SSA forecasting
- SSA of biomedical signals: a linear invariant systems approach
- A review on singular spectrum analysis for economic and financial time series
- Singular spectrum analysis for image processing
- Approximate Projectors in Singular Spectrum Analysis
- An Adaptive Orthogonal SSA Decomposition Algorithm for a Time Series
- A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis
- Empirical comparison of Box-Jenkins models, artificial neural network and singular spectrum analysis in forecasting time series
- The Sliding Singular Spectrum Analysis: A Data-Driven Nonstationary Signal Decomposition Tool
- scientific article; zbMATH DE number 6951443 (Why is no real title available?)
- Signal extraction and forecasting of the UK tourism income time series: a singular spectrum analysis approach
- Multiscale forecasting models
- Fast ESPRIT algorithms based on partial singular value decompositions
- A study of singular spectrum analysis with global optimization techniques
- Randomized singular spectrum analysis for long time series
- A new parsimonious recurrent forecasting model in singular spectrum analysis
- Prony methods for recovery of structured functions
- On the empirical spectral distribution of lag-covariance matrix in singular spectrum analysis
- A new approach for the vector forecast algorithm in singular spectrum analysis
- On singular spectrum analysis and stepwise time series reconstruction
- Extraction of sea temperature in the Barents Sea by a scale space multiresolution method -- prospects for Atlantic salmon
- A new peak fitting method for 1D solid-state \(^{29}\)Si NMR spectra based on singular spectrum analysis
- New developments in the forecasting of monthly overnight stays in the north region of Portugal
- Singular Spectrum Analysis and Circulant Maximum Variance Frames
- Frequency-Weighted Singular Spectrum Analysis for Time Series
- Filtering and frequency interpretations of singular spectrum analysis
- Relationship between singular spectrum analysis and Fourier analysis: theory and application to the monitoring of volcanic activity
- A comparative study of singular spectrum analysis, neural network, ARIMA and exponential smoothing for monthly rainfall forecasting
- Interval type-2 evolving fuzzy Kalman filter for processing of unobservable spectral components from uncertain experimental data
- Singular spectrum analysis (SSA) based hybrid models for emergency ambulance demand (EAD) time series forecasting
- Singular spectrum analysis based on the perturbation theory
- Functional singular spectrum analysis
- Particularities and commonalities of singular spectrum analysis as a method of time series analysis and signal processing
- A method for fast and robust sungular spectrum analysis
- Statistical methods for predicting e-cigarette use events based on beat-to-beat interval (BBI) data collected from wearable devices
- The benefits of multivariate singular spectrum analysis over the univariate version
- Utilizing trajectory matrices and singular value decomposition (SVD) for multivariate transformation in time series analysis
- Robust singular spectrum analysis: comparison between classical and robust approaches for model fit and forecasting
- Filtering out high frequencies in time series using F-transform
- Pursuit and synchronization in hydrodynamic dipoles
- The problem of processing time series: extending possibilities of the local approximation method using singular spectrum analysis
- Stochastic algorithms for solving structured low-rank matrix approximation problems
- Singular spectrum analysis based on the minimum variance estimator
- The ``Caterpillar-SSA method for analysis of time series with missing values
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