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Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction

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journal contribution
posted on 2022-11-09, 02:26 authored by D.S. Poskitt
This paper provides a detailed analysis of the properties of Singular Spectrum Analysis (SSa) under very general conditions concerning the structure of the observed

History

Classification-JEL

C14, C22, C52

Creation date

2016-08-31

Working Paper Series Number

15/16

Length

45

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2016-15

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    Keywords

    embeddingprinciple componentsre-scaled trajectory matrixsingular value decompositionspectrum.

    Licence

    In Copyright

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