Escott-Price, Valentina and Schmidt, Karl Michael 2003. Approximate projectors in singular spectrum analysis. SIAM Journal on Matrix Analysis and Applications (SIMAX) 24 (4) , pp. 932-942. 10.1137/S0895479801398967 |
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Abstract
Singular spectrum analysis (SSA) is a method of time-series analysis based on the singular value decomposition of an associated Hankel matrix. We present an approach to SSA using an effective and numerically stable high-degree polynomial approximation of a spectral projector, which also provides a means of time-series forecasting. Several numerical examples illustrating the algorithm are given.
Item Type: | Article |
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Date Type: | Publication |
Status: | Published |
Schools: | Mathematics Medicine MRC Centre for Neuropsychiatric Genetics and Genomics (CNGG) |
Uncontrolled Keywords: | Hankel matrix ; Singular value decomposition ; Spectral projector ; Polynomial approximation |
Additional Information: | Pdf uploaded in accordance with publisher's policy at http://www.sherpa.ac.uk/romeo/issn/0895-4798/ (accessed 28/02/2014). |
Publisher: | Society for Industrial and Applied Mathematics |
ISSN: | 0895-4798 |
Date of First Compliant Deposit: | 30 March 2016 |
Last Modified: | 15 Dec 2017 08:37 |
URI: | http://orca.cf.ac.uk/id/eprint/1689 |
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