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Applications of Singular Spectrum Analysis

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

Abstract

This chapter presents three main applications of using Singular Spectrum Analysis (SSA): change point detection, gap filling/missing value imputation, and filtering/denoising. A concise description of the main idea along with technical background with various practical illustrations with associated R codes are given in this chapter. Both univariate and multivariate SSA R codes are provided for filtering and missing values imputation.

Keywords

Change point detection Gap filling Missing value imputation Denoising Filtering 

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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