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Univariate Singular Spectrum Analysis

  • Hossein HassaniEmail author
  • Rahim Mahmoudvand
Chapter
  • 439 Downloads
Part of the Palgrave Advanced Texts in Econometrics book series (PATEC)

Abstract

A concise description of univariate Singular Spectrum Analysis (SSA) is presented in this chapter. A step-by-step guide for performing filtering, forecasting as well as forecasting interval using univariate SSA and associated R codes is also provided. After reading this chapter, the reader will be able to select two basic, but very important, choices of SSA: window length and number of singular values. The similarity and dissimilarity between SSA and principal component analysis (PCA) is also briefly deliberated.

Keywords

Univariate SSA Window length Singular values Reconstruction Forecasting 

Copyright information

© The Author(s) 2018

Authors and Affiliations

  1. 1.Research Institute of Energy Management and PlanningUniversity of TehranTehranIran
  2. 2.Department of StatisticsBu-Ali Sina UniversityHamedanIran

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