Univariate Singular Spectrum Analysis
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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.