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More on Filtering and Forecasting by SSA

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

Abstract

The core intention of this chapter is providing the reader with more theoretical information regarding technical background of the Singular Spectrum Analysis (SSA) approach so that each part of the presented technique can be easily extended/modified according to the users’ desirer/applications. The possibility of using two window lengths for reconstruction and forecasting stages of SSA and outlier detection are presented as two illustrations. More information on theoretical aspect of SSA is also presented in Appendix B.

Keywords

Outlier detection Technical aspect of SSA Forecasting formula Filtering formula 

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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