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Statistical dimension estimation in singular spectrum analysis

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Summary

Singular spectrum analysis has been proposed in the field of nonlinear dynamical systems as filtering method. In this paper a criterion to choose the number of components which leads to the best filtering is proposed. The selection is made by minimizing the prediction error.

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Authors and Affiliations

  1. Department of Statistics, University of Padua, Italy

    F. Lisi

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  1. F. Lisi
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Correspondence to F. Lisi.

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Lisi, F. Statistical dimension estimation in singular spectrum analysis. J. It. Statist. Soc. 5, 203–209 (1996). https://doi.org/10.1007/BF02589172

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  • DOI: https://doi.org/10.1007/BF02589172

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