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Selection of Window Length in Singular Spectrum Analysis of a Time Series

  • P. Unnikrishnan
  • V. Jothiprakash
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 250)

Abstract

Singular Spectrum Analysis (SSA) is a promising non-parametric time series modelling technique that has proved to be successful in data preprocessing in diverse application fields. It is a window length-based method and the appropriate selection of window length plays a crucial role in the accuracy of SSA. However, there are no specific methods depicted in the literature about its selection. In this study, the method of SSA in time series analysis is presented in detail and a sensitivity analysis of window length is carried out based on an observed daily rainfall time series.

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Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  • P. Unnikrishnan
    • 1
  • V. Jothiprakash
    • 1
  1. 1.Indian Institute of TechnologyBombayIndia

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