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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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Abstract

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
URI: http://orca.cf.ac.uk/id/eprint/24418

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