A review on singular spectrum analysis for economic and financial time series
نویسندگان
چکیده
منابع مشابه
A review on singular spectrum analysis for economic and financial time series
In recent years Singular Spectrum Analysis (SSA), a relatively novel but powerful technique in time series analysis, has been developed and applied to many practical problems across different fields. In this paper we review recent developments in the theoretical and methodological aspects of the SSA from the perspective of analyzing and forecasting economic and financial time series, and also r...
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Singular spectrum analysis (SSA) is a technique of time series analysis and forecasting. It combines elements of classical time series analysis, multivariate statistics, multivariate geometry, dynamical systems and signal processing. SSA aims at decomposing the original series into a sum of a small number of interpretable components such as a slowly varying trend, oscillatory components and a ‘...
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ژورنال
عنوان ژورنال: Statistics and Its Interface
سال: 2010
ISSN: 1938-7989,1938-7997
DOI: 10.4310/sii.2010.v3.n3.a11