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Approximate projectors in singular spectrum analysis

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
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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