Analysis of Time Series Structure: SSA and Related - download pdf or read online

By Nina Golyandina

During the last 15 years, singular spectrum research (SSA) has confirmed very winning. It has already turn into a typical software in climatic and meteorological time sequence research and renowned in nonlinear physics and sign processing. although, regardless of the promise it holds for time sequence purposes in different disciplines, SSA isn't widely recognized between statisticians and econometrists, and even supposing the fundamental SSA set of rules seems to be basic, figuring out what it does and the place its pitfalls lay is on no account simple.Analysis of Time sequence constitution: SSA and comparable innovations offers a cautious, lucid description of its basic concept and technique. half I introduces the elemental suggestions, and units forth the most findings and effects, then offers a close remedy of the method. After introducing the fundamental SSA set of rules, the authors discover forecasting and follow SSA principles to change-point detection algorithms. half II is dedicated to the idea of SSA. the following the authors formulate and turn out the statements of half I. They tackle the singular worth decomposition (SVD) of genuine matrices, time sequence of finite rank, and SVD of trajectory matrices.Based at the authors' unique paintings and jam-packed with purposes illustrated with actual info units, this ebook deals a good chance to acquire a operating wisdom of why, whilst, and the way SSA works. It builds a powerful origin for effectively utilizing the approach in purposes starting from arithmetic and nonlinear physics to economics, biology, oceanology, social technological know-how, engineering, monetary econometrics, and marketplace learn.

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Extra info for Analysis of Time Series Structure: SSA and Related Techniques

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3. ) Since the main purpose of SSA is a decomposition of the series into additive components, we always implicitly assume that this series is a sum of several simpler series. These ‘simple’ series are the objects of the discussion below. Note also that here we only consider deterministic time series, including those that can be regarded as ’noise’. 3. 4, here we stick to a looser style). Specifically, an infinite series F = (f0 , f1 , . . , fn , . . 12) N →∞ j=0 where the (even) function Rf (n) is called the covariance function of the series F .

Vd . Thus, the SVD gives rise to two dual geometrical descriptions of the trajectory matrix X. The optimal feature of the SVD considered above may be reformulated in the language of multivariate geometry for the L-lagged vectors as follows. Let r < def = d. Then among all r-dimensional subspaces Lr of IRL , the subspace L(0) r L(U1 , . . , Ur ), spanned by U1 , . . , Ur , approximates these vectors in the best K way; that is, the minimum of i=1 dist2 (Xi , Lr ) is attained at L(0) r . The ratio r d i=1 λi / i=1 λi is the characteristic of the best r-dimensional approximation of the lagged vectors.

We shall therefore delay the corresponding discussion until the next section. Here we consider the concept of separability itself, both from the theoretical and the practical viewpoints. 1 Weak and strong separability Let us fix the window length L, consider a certain SVD of the L-trajectory matrix X of the initial series F of length N , and assume that the series F is a sum of two series F (1) and F (2) , that is, F = F (1) + F (2) . 3) that we can split the matrix terms of the SVD of the trajectory matrix X into two different groups, so that the sums of terms within the groups give the trajectory matrices X(1) and X(2) of the series F (1) and F (2) , respectively.

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