Singular Spectrum Analysis for Time Series PDF Download

Author: Nina Golyandina
Publisher: Springer Nature
ISBN: 3662624362
Category : Mathematics
Languages : en
Pages : 156

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Book Description
This book gives an overview of singular spectrum analysis (SSA). SSA is a technique of time series analysis and forecasting combining elements of classical time series analysis, multivariate statistics, multivariate geometry, dynamical systems and signal processing. SSA is multi-purpose and naturally combines both model-free and parametric techniques, which makes it a very special and attractive methodology for solving a wide range of problems arising in diverse areas. Rapidly increasing number of novel applications of SSA is a consequence of the new fundamental research on SSA and the recent progress in computing and software engineering which made it possible to use SSA for very complicated tasks that were unthinkable twenty years ago. In this book, the methodology of SSA is concisely but at the same time comprehensively explained by two prominent statisticians with huge experience in SSA. The book offers a valuable resource for a very wide readership, including professional statisticians, specialists in signal and image processing, as well as specialists in numerous applied disciplines interested in using statistical methods for time series analysis, forecasting, signal and image processing. The second edition of the book contains many updates and some new material including a thorough discussion on the place of SSA among other methods and new sections on multivariate and multidimensional extensions of SSA.

Author: J.B. Elsner
Publisher: Springer Science & Business Media
ISBN: 1475725140
Category : Business & Economics
Languages : en
Pages : 167

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Book Description
The term singular spectrum comes from the spectral (eigenvalue) decomposition of a matrix A into its set (spectrum) of eigenvalues. These eigenvalues, A, are the numbers that make the matrix A -AI singular. The term singular spectrum analysis· is unfortunate since the traditional eigenvalue decomposition involving multivariate data is also an analysis of the singular spectrum. More properly, singular spectrum analysis (SSA) should be called the analysis of time series using the singular spectrum. Spectral decomposition of matrices is fundamental to much the ory of linear algebra and it has many applications to problems in the natural and related sciences. Its widespread use as a tool for time series analysis is fairly recent, however, emerging to a large extent from applications of dynamical systems theory (sometimes called chaos theory). SSA was introduced into chaos theory by Fraedrich (1986) and Broomhead and King (l986a). Prior to this, SSA was used in biological oceanography by Colebrook (1978). In the digi tal signal processing community, the approach is also known as the Karhunen-Loeve (K-L) expansion (Pike et aI., 1984). Like other techniques based on spectral decomposition, SSA is attractive in that it holds a promise for a reduction in the dimen- • Singular spectrum analysis is sometimes called singular systems analysis or singular spectrum approach. vii viii Preface sionality. This reduction in dimensionality is often accompanied by a simpler explanation of the underlying physics.

Author: Nina Golyandina
Publisher: Springer
ISBN: 3662573806
Category : Mathematics
Languages : en
Pages : 284

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Book Description
This comprehensive and richly illustrated volume provides up-to-date material on Singular Spectrum Analysis (SSA). SSA is a well-known methodology for the analysis and forecasting of time series. Since quite recently, SSA is also being used to analyze digital images and other objects that are not necessarily of planar or rectangular form and may contain gaps. SSA is multi-purpose and naturally combines both model-free and parametric techniques, which makes it a very special and attractive methodology for solving a wide range of problems arising in diverse areas, most notably those associated with time series and digital images. An effective, comfortable and accessible implementation of SSA is provided by the R-package Rssa, which is available from CRAN and reviewed in this book. Written by prominent statisticians who have extensive experience with SSA, the book (a) presents the up-to-date SSA methodology, including multidimensional extensions, in language accessible to a large circle of users, (b) combines different versions of SSA into a single tool, (c) shows the diverse tasks that SSA can be used for, (d) formally describes the main SSA methods and algorithms, and (e) provides tutorials on the Rssa package and the use of SSA. The book offers a valuable resource for a very wide readership, including professional statisticians, specialists in signal and image processing, as well as specialists in numerous applied disciplines interested in using statistical methods for time series analysis, forecasting, signal and image processing. The book is written on a level accessible to a broad audience and includes a wealth of examples; hence it can also be used as a textbook for undergraduate and postgraduate courses on time series analysis and signal processing.

Author: Saeid Sanei
Publisher: CRC Press
ISBN: 1466589280
Category : Medical
Languages : en
Pages : 270

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Book Description
Recent advancements in signal processing and computerised methods are expected to underpin the future progress of biomedical research and technology, particularly in measuring and assessing signals and images from the human body. This book focuses on singular spectrum analysis (SSA), an effective approach for single channel signal analysis, and its

Author: Nina Golyandina
Publisher: CRC Press
ISBN: 9781420035841
Category : Mathematics
Languages : en
Pages : 322

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Book Description
Over the last 15 years, singular spectrum analysis (SSA) has proven very successful. It has already become a standard tool in climatic and meteorological time series analysis and well known in nonlinear physics and signal processing. However, despite the promise it holds for time series applications in other disciplines, SSA is not widely known among statisticians and econometrists, and although the basic SSA algorithm looks simple, understanding what it does and where its pitfalls lay is by no means simple. Analysis of Time Series Structure: SSA and Related Techniques provides a careful, lucid description of its general theory and methodology. Part I introduces the basic concepts, and sets forth the main findings and results, then presents a detailed treatment of the methodology. After introducing the basic SSA algorithm, the authors explore forecasting and apply SSA ideas to change-point detection algorithms. Part II is devoted to the theory of SSA. Here the authors formulate and prove the statements of Part I. They address the singular value decomposition (SVD) of real matrices, time series of finite rank, and SVD of trajectory matrices. Based on the authors' original work and filled with applications illustrated with real data sets, this book offers an outstanding opportunity to obtain a working knowledge of why, when, and how SSA works. It builds a strong foundation for successfully using the technique in applications ranging from mathematics and nonlinear physics to economics, biology, oceanology, social science, engineering, financial econometrics, and market research.

Author: Nina Golyandina
Publisher: Springer Science & Business Media
ISBN: 3642349137
Category : Mathematics
Languages : en
Pages : 126

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Book Description
Singular spectrum analysis (SSA) is a technique of time series analysis and forecasting combining elements of classical time series analysis, multivariate statistics, multivariate geometry, dynamical systems and signal processing. SSA seeks to decompose the original series into a sum of a small number of interpretable components such as trend, oscillatory components and noise. It is based on the singular value decomposition of a specific matrix constructed upon the time series. Neither a parametric model nor stationarity are assumed for the time series. This makes SSA a model-free method and hence enables SSA to have a very wide range of applicability. The present book is devoted to the methodology of SSA and shows how to use SSA both safely and with maximum effect. Potential readers of the book include: professional statisticians and econometricians, specialists in any discipline in which problems of time series analysis and forecasting occur, specialists in signal processing and those needed to extract signals from noisy data, and students taking courses on applied time series analysis.

Author: Hossein Hassani
Publisher: Springer
ISBN: 1137409517
Category : Business & Economics
Languages : en
Pages : 158

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Book Description
This book provides a broad introduction to computational aspects of Singular Spectrum Analysis (SSA) which is a non-parametric technique and requires no prior assumptions such as stationarity, normality or linearity of the series. This book is unique as it not only details the theoretical aspects underlying SSA, but also provides a comprehensive guide enabling the user to apply the theory in practice using the R software. Further, it provides the user with step- by- step coding and guidance for the practical application of the SSA technique to analyze their time series databases using R. The first two chapters present basic notions of univariate and multivariate SSA and their implementations in R environment. The next chapters discuss the applications of SSA to change point detection, missing-data imputation, smoothing and filtering. This book is appropriate for researchers, upper level students (masters level and beyond) and practitioners wishing to revive their knowledge of times series analysis or to quickly learn about the main mechanisms of SSA.

Author: Vadim Olshevsky
Publisher: World Scientific
ISBN: 9812836020
Category : Mathematics
Languages : en
Pages : 604

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Book Description
Operators preserving primitivity for matrix pairs / L.B. Beasley, A.E. Guterman -- Decompositions of quaternions and their matrix equivalents / D. Janovská, G. Opfer -- Sensitivity analysis of Hamiltonian and reversible systems prone to dissipation-induced instabilities / O.N. Kirillov -- Block triangular miniversal deformations of matrices and matrix pencils / L. Klimenko, V.V. Sergeichuk -- Determining the Schein rank of boolean matrices / E.E. Marenich -- Lattices of matrix rows and matrix columns. Lattices of invariant column eigenvectors / V. Marenich -- Matrix algebras and their length / O.V. Markova -- On a new class of singular nonsymmetric matrices with nonnegative integer spectra / T. Nahtman, D. von Rosen -- Reduction of a set of matrices over a principal ideal domain to the Smith normal forms by means of the same one-sided transformation / V.M. Prokip -- Nonsymmetric algebraic Riccati equations associated with an M-matrix : recent advances and algorithms / D.A. Bini, B. Iannazzo, B. Meini, F. Poloni -- A generalized conjugate direction method for nonsymmetric large ill-conditioned linear systems / E.R. Boudinov, A.I. Manevich -- There exist normal Hankel ([symbol], [symbol])-circulants of any order [symbol] / V.N. Chugunov, Kh. D. Ikramov -- On the treatment of boundary artifacts in image restoration by reflection and/or anti-reflection / M. Donatelli, S. Serra-Capizzano -- Zeros of determinants of [symbol]-matrices / W. Gander -- How to find a good submatrix / S.A. Goreinov [und weiteren] -- Conjugate and semi-conjugate direction methods with preconditioning projectors / V.P. Il'in -- Some relationships between optimal preconditioner and superoptimal preconditioner / J.-B. Chen [und weiteren] -- Scaling, preconditioning, and superlinear convergence in GMRES-type iterations / I. Kaporin -- Toeplitz and Toeplitz-block-Toeplitz matrices and their correlation with syzygies of polynomials / H. Khalil, B. Mourrain, M. Schatzman -- Concepts of data-sparse tensor-product approximation in many-particle modelling / H.-J. Flad [und weiteren] -- Separation of variables in nonlinear fermi equation / Yu. I. Kuznetsov -- Faster multipoint polynomial evaluation via structured matrices / B. Murphy, R.E. Rosholt -- Testing pivoting policies in Gaussian elimination / B. Murphy [und weiteren] -- Newton's iteration for matrix inversion, advances and extensions / V.Y. Pan -- Truncated decompositions and filtering methods with reflective/antireflective boundary conditions : a comparison / C. Tablino Possio -- Discrete-time stability of a class of hermitian polynomial matrices with positive semidefinite coefficients / H.K. Wimmer -- Splitting algorithm for solving mixed variational inequalities with inversely strongly monotone operators / I. Badriev, O. Zadvornov -- Multilevel algorithm for graph partitioning / N.S. Bochkarev, O.V. Diyankov, V.Y. Pravilnikov -- 2D-extension of singular spectrum analysis : algorithm and elements of theory / N.E. Golyandina, K.D. Usevich -- Application of radon transform for fast solution of boundary value problems for elliptic PDE in domains with complicated geometry / A.I. Grebennikov -- Application of a multigrid method to solving diffusion-type equations / M.E. Ladonkina, O. Yu. Milukova, V.F. Tishkin -- Monotone matrices and finite volume schemes for diffusion problems preserving non-negativity of solution / I.V. Kapyrin -- Sparse approximation of FEM matrix for sheet current integro-differential equation / M. Khapaev, M. Yu. Kupriyanov -- The method of magnetic field computation in presence of an ideal conductive multiconnected surface by using the integro-differential equation of the first kind / T. Kochubey, V.I. Astakhov -- Spectral model order reduction preserving passivity for large multiport RCLM networks / Yu. M. Nechepurenko, A.S. Potyagalova, I.A. Karaseva -- New smoothers in multigrid methods for strongly nonsymmetric linear systems / G.V. Muratova, E.M. Andreeva -- Operator equations for eddy currents on singular carriers / J. Naumenko -- Matrix approach to modelling of polarized radiation transfer in heterogeneous systems / T.A. Sushkevich, S.A. Strelkov, S.V. Maksakova -- The Method of Regularization of Tikhonov Based on Augmented Systems / A.I. Zhdanov, T.G. Parchaikina

Author: Graham P. Weedon
Publisher: Cambridge University Press
ISBN: 1139435175
Category : Science
Languages : en
Pages : 275

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Book Description
Increasingly environmental scientists, palaeoceanographers and geologists are collecting quantitative records of environmental changes (time-series) from sediments, ice cores, cave calcite, corals and trees. This book explains how to analyse these records, using straightforward explanations and diagrams rather than formal mathematical derivations. All the main cyclostratigraphic methods are covered including spectral analysis, cross-spectral analysis, filtering, complex demodulation, wavelet and singular spectrum analysis. Practical problems of time-series analysis, including those of distortions of environmental signals during stratigraphic encoding, are considered in detail. Recent research into various types of tidal and climatic cycles is summarised. The book ends with an extensive reference section, and an appendix listing sources of computer algorithms. This book provides the ideal reference for all those using time-series analysis to study the nature and history of climatic and tidal cycles. It is suitable for senior undergraduate and graduate courses in environmental science, palaeoceanography and geology.

Author: Enders A. Robinson
Publisher: SEG Books
ISBN: 1560801042
Category : Digital filters (Mathematics).
Languages : en
Pages : 481

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Book Description
Addresses the construction, analysis, and interpretation of mathematical and statistical models. The practical use of the concepts and techniques developed is illustrated by numerous applications. The chosen examples will interest many readers, including those engaged in digital signal analysis in disciplines other than geophysics.