Download Analysis of Time Series Structure: SSA and Related by Nina Golyandina PDF

By Nina Golyandina

During the last 15 years, singular spectrum research (SSA) has confirmed very winning. It has already develop into a regular device 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 functions in different disciplines, SSA isn't widely recognized between statisticians and econometrists, and even supposing the elemental SSA set of rules appears easy, figuring out what it does and the place its pitfalls lay is on no account simple.Analysis of Time sequence constitution: SSA and comparable thoughts presents a cautious, lucid description of its basic conception and method. half I introduces the fundamental recommendations, and units forth the most findings and effects, then offers an in depth remedy of the technique. After introducing the elemental SSA set of rules, the authors discover forecasting and practice SSA rules to change-point detection algorithms. half II is dedicated to the speculation of SSA. right here the authors formulate and turn out the statements of half I. They handle the singular worth decomposition (SVD) of actual matrices, time sequence of finite rank, and SVD of trajectory matrices.Based at the authors' unique paintings and full of functions illustrated with actual facts units, this publication deals a very good chance to acquire a operating wisdom of why, whilst, and the way SSA works. It builds a robust origin for effectively utilizing the approach in purposes starting from arithmetic and nonlinear physics to economics, biology, oceanology, social technology, engineering, monetary econometrics, and industry study.

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Extra resources for Analysis of Time Series Structure: SSA and Related Techniques (Chapman & Hall CRC Monographs on Statistics & Applied Probability)

Example text

D} \ I, where 1 ≤ i1 < . . < ir ≤ d. The purpose of the grouping step is separation of the additive components of time series. Let us discuss the very important concept of separability in detail. Suppose that the time series F is a sum of two time series F (1) and F (2) ; that is, (1) (2) fi = fi + fi for i = 0, . . , N − 1. Let us fix the window length L and denote (1) by X, X and X(2) the L-trajectory matrices of the series F , F (1) and F (2) , respectively. 2) of the trajectory matrix X.

Moreover, on finite time intervals aperiodic series are hardly distinguished from a sum of harmonics with wide spectrum and small amplitudes. For a description of finite, but reasonably long, stationary series, it is convenient to use the language of the Fourier expansion of the initial series. 15) k=1 where N is the length of the series, 0 ≤ n < N , and sN/2 = 0 for even N . The zero term c0 is equal to the average of the series, so that if the series is centred, then c0 = 0. For a series of a finite length, the periodogram of the series is an analogue of the spectral measure.

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. Another optimal feature relates to the properties of the directions determined by the eigenvectors U1 , . . , Ud . Specifically, the first eigenvector U1 determines the direction such that the variation of the projections of the lagged vectors onto this direction is maximum.

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