Simulation study of singular spectrum analysis from time series data with outlier
نویسندگان
چکیده
منابع مشابه
Time Series Forecast with Singular Spectrum Analysis
We propose a novel approach for constructing Singular Spectrum Analysis (SSA) forecast based on estimating new coefficients of Linear Recurrent Formula. The results indicate that the proposed method is more reliable in comparison to the widely used approaches that were proposed along with SSA. We conduct simulation studies to compare the relative performance of the new method with the existing ...
متن کاملGeneralized Singular Spectrum Time Series Analysis
This paper is a study of continuous time Singular Spectrum Analysis (SSA). We show that the principal eigenfunctions are solutions to a set of linear ODEs with constant coefficients. We also introduce a natural generalization of SSA, constructed using local (Lie-) transformation groups. The time translations used in standard SSA is a special case. The eigenfunctions then satisfy a simple type o...
متن کاملSingular Spectrum Analysis for Time Series
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 ‘...
متن کاملAutomatic Singular Spectrum Analysis for Time-Series Decomposition
An automatic Singular Spectrum Analysis based methodology is proposed to decompose and reconstruct time-series. We suggest a clustering based procedure to identify the main dynamics of the input signal, by computing a subset of orthogonal basis using a power spectrum criterion. The subset of basis are represented by the Discrete Fourier Transform to infer basis vectors encoding similar data str...
متن کاملDesigning a Framework to Improve Time Series Data of Construction Projects: Application of a Simulation Model and Singular Spectrum Analysis
During a construction project life cycle, project costs and time estimations contribute greatly to baseline scheduling. Besides, schedule risk analysis and project control are also influenced by the above factors. Although many papers have offered estimation techniques, little attempt has been made to generate project time series data as daily progressive estimations in different project enviro...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: IOP Conference Series: Materials Science and Engineering
سال: 2018
ISSN: 1757-899X
DOI: 10.1088/1757-899x/434/1/012068