Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction

Poskitt, D.S.

doi:10.26180/21521478.v1

wp15-16.pdf (573.74 kB)

Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction

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

embedding principle components re-scaled trajectory matrix singular value decomposition spectrum.

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In Copyright

Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction

History

Classification-JEL

Creation date

Working Paper Series Number

Length

File-Format

Handle

Usage metrics

Categories

Keywords

Licence

Exports