Read e-book online Analysis of Time Series Structure: SSA and Related PDF

By Nina Golyandina

ISBN-10: 1584881941

ISBN-13: 9781584881940

Over the past 15 years, singular spectrum research (SSA) has confirmed very winning. It has already develop into a typical software in climatic and meteorological time sequence research and renowned in nonlinear physics and sign processing. even though, regardless of the promise it holds for time sequence functions in different disciplines, SSA isn't really well known between statisticians and econometrists, and even supposing the elemental SSA set of rules appears to be like basic, figuring out what it does and the place its pitfalls lay is certainly not simple.Analysis of Time sequence constitution: SSA and similar innovations presents a cautious, lucid description of its common concept and technique. half I introduces the fundamental suggestions, and units forth the most findings and effects, then offers a close remedy of the technique. After introducing the fundamental SSA set of rules, the authors discover forecasting and follow SSA principles 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 deal with the singular price decomposition (SVD) of actual matrices, time sequence of finite rank, and SVD of trajectory matrices.Based at the authors' unique paintings and packed with functions illustrated with genuine info units, this booklet bargains a good chance to acquire a operating wisdom of why, while, and the way SSA works. It builds a powerful origin for effectively utilizing the method in purposes starting from arithmetic and nonlinear physics to economics, biology, oceanology, social technological know-how, engineering, monetary econometrics, and industry learn.

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

Sample text

For example, if the initial series can be considered as a locally stationary process, then we can expand each lagged vector Xi with respect to any fixed basis (for instance, the Fourier basis or a certain wavelet basis) and study the dynamics of such an expansion. These ideas correspond to the dynamical Fourier analysis. Evidently, other bases can be applied as well. 6) then we search for a vector A = (a1 , . . , aL−1 , −1) such that the inner products (Xi , A) are described in terms of a certain noise series.

3) where the resultant matrices XIk are almost Hankel ones. 11) are small. 5), the decomposition of the original time series. The procedure of computing the time series F (k) (that is, building up the group Ik plus diagonal averaging of the matrix XIk ) will be called reconstruction of a series component F (k) by the eigentriples with indices in Ik . 3 Basic SSA: basic capabilities In this section we start discussing examples that illustrate basic capabilities of Basic SSA. Note that terms such as ‘trend’, ‘smoothing’, ‘signal’, and ‘noise’ are Copyright © 2001 CRC Press, LLC used here in their informal, common-sense meaning and will be commented on later.

Ud ) is an orthonormal basis in the d-dimensional trajectory space L(L) . √ Setting Zi = λi Vi , i = 1, . . 9) i=1 and for the lagged vectors Xj we have d Xj = i=1 where the zji are the components of the vector Zi . 9), zji is the ith component of the vector Xj , represented in the basis U. In other words, the vector Zi is composed of the ith components of lagged vectors represented in the basis U. T √ Let us now consider the transposed trajectory matrix X . Introducing Yi = λi Ui we obtain the expansion d XT = Vi YiT , i=1 which corresponds to the representation of the sequence of K-lagged vectors in the orthonormal basis V1 , .

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Analysis of Time Series Structure: SSA and Related Techniques (Chapman & Hall CRC Monographs on Statistics & Applied Probability) by Nina Golyandina

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