Analysis of Time Series Structure SSA and Related Techniques

Analysis of Time Series Structure SSA and Related Techniques

Over the final 15 years, singular spectrum evaluation (SSA) has confirmed very profitable. It has already turn out to be a typical device in climatic and meteorological time collection evaluation and well-known in nonlinear physics and sign processing. However, regardless of the promise it holds for time collection functions in different disciplines, SSA isn’t extensively identified amongst statisticians and econometrists, and though the fundamental SSA algorithm seems easy, understanding what it does and the place its pitfalls lay is in no way easy.

Analysis of Time Series Structure: SSA and Related Techniques supplies a cautious, lucid description of its basic principle and methodology. Part I introduces the fundamental ideas, and units forth the primary findings and outcomes, then presents an in depth remedy of the methodology. After introducing the fundamental SSA algorithm, the authors discover forecasting and apply SSA concepts to change-point detection algorithms. Part II is dedicated to the speculation of SSA. Here the authors formulate and show the statements of Part I. They tackle the singular worth decomposition (SVD) of actual matrices, time collection of finite rank, and SVD of trajectory matrices.

Based on the authors’ unique work and full of functions illustrated with actual knowledge units, this guide gives an impressive alternative to acquire a working information of why, when, and how SSA works. It builds a robust basis for efficiently utilizing the approach in functions starting from arithmetic and nonlinear physics to economics, biology, oceanology, social science, engineering, monetary econometrics, and market analysis.

Review:

[This] is the primary guide on SSA aimed toward statisticians. The authors present clear and concise descriptions of the fundamental methodology of this new approach, and this can be a welcome reference textual content for time collection practitioners. … This guide supplies the background to efficiently perceive and intelligently apply SSA. I strongly suggest it to anybody occupied with time collection evaluation.
– Journal of the American Statistical Association

This guide summarizes the outcomes printed on SSA within the final 15 years. It is an efficient supply of SSA methodology for scientists who want to complement classical procedures for time collection evaluation by SSA instruments.
– Mathematical Reviews, Issue 2002

…the formal mathematical principle, which underpins the tactic, is laid out with admirable readability. The authors have carried out a service to the statistical group by scripting this guide. It is prone to turn out to be the usual reference to SSA; useful to the utilized statistician who needs to analyse a occasions collection and additionally to the theoretician who could want to develop this attention-grabbing method to time collection evaluation additional.
Short Book Reviews of the ISI

The current monograph is devoted to a not too long ago proposed approach, singular spectrum evaluation (SSA), that may be thought of an extension of Pearson’s downside to the scenario during which the factors within the house correspond to realizations of a time collection…it is a crucial contribution to a contemporary space that’s changing into more and more wanted in issues of electrical engineering, economics, meteorology, oceanography, and different fields. The authors must be recommended for bringing this technique to the eye of the statistical group.
-Andrew L. Rukhin, University of Maryland at Baltimore County for Technometrics, August 2002