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Basic SSA

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Singular Spectrum Analysis for Time Series

Part of the book series: SpringerBriefs in Statistics ((BRIEFSSTATIST))

Abstract

Consider a real-valued time series \(\mathbb{X }=\mathbb{X }_N=(x_1,\ldots ,x_{N})\) of length \(N\). Assume that \(N>2\) and \(\mathbb{X }\) is a nonzero series; that is, there exists at least one \(i\) such that \(x_i\ne 0\). Let \(L\) (\(1<L<N\)) be some integer called the window length and \(K=N-L+1\).

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Authors and Affiliations

  1. Mathematics, St. Petersburg University, Universitetsky pr. 28, St. Petersburg, 198504, Russia

    Nina Golyandina

  2. School of Mathematics, Cardiff University, Senghennydd Rd., CF24 4AG, Cardiff, UK

    Anatoly Zhigljavsky

Authors
  1. Nina Golyandina
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  2. Anatoly Zhigljavsky
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Correspondence to Nina Golyandina .

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Golyandina, N., Zhigljavsky, A. (2013). Basic SSA. In: Singular Spectrum Analysis for Time Series. SpringerBriefs in Statistics. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-34913-3_2

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