Analysis of Time Series Structure: SSA and related techniques by Vladimir Nekrutkin
Analysis of Time Series Structure: SSA and related techniques by Vladimir Nekrutkin
English | Jan 23, 2001 | ISBN: 1584881941 | 309 Pages | PDF | 4 MB
English | Jan 23, 2001 | ISBN: 1584881941 | 309 Pages | PDF | 4 MB
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.