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Separability and window length in singular spectrum analysis

Hassani, Hossein, Mahmoudvand, Rahim and Zokaei, Mohammad 2011. Separability and window length in singular spectrum analysis. Comptes Rendus Mathematique 349 (17-18) , pp. 987-990. 10.1016/j.crma.2011.07.012

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To find the optimal value of window length in singular spectrum analysis (SSA), we consider the concept of separability between the signal and noise component. The theoretical results confirm that for a wide class of time series, the suitable value of this parameter is median{1,…,T} with the series of length T. The theoretical results obtained here coincide with those obtained previously from the empirical point of view.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Language other than English: French
Publisher: Elsevier
ISSN: 1631-073X
Last Modified: 19 Mar 2016 22:42

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