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Multivariate Singular Spectrum Analysis

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

Abstract

When multiple time series are observed, we are usually interested in the internal structure of each, and at the same time their joint structure, or the dependency among series. Accordingly, the second chapter of this book is dedicated to this vital concept. In this chapter, the basic univariate Singular Spectrum Analysis (SSA) is extended in a fairly obvious way to the multivariate case and transition from univariate SSA to multivariate with emphasis on intuition and applications are deliberated. The related multivariate SSA codes along with several practical examples are also presented.

Keywords

Multivariate time series Multivariate SSA Block Hankel Matrix Interdependency 

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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