文章基本信息

标题：Multivariate and 2D Extensions of Singular Spectrum Analysis with the Rssa Package
本地全文：下载
作者：Nina Golyandina ; Anton Korobeynikov ; Alex Shlemov 等
期刊名称：Journal of Statistical Software
印刷版ISSN：1548-7660
电子版ISSN：1548-7660
出版年度：2015
卷号：67
期号：1
页码：1-78
语种：English
出版社：University of California, Los Angeles
摘要：Implementation of multivariate and 2D extensions of singular spectrum analysis (SSA) by means of the R package Rssa is considered. The extensions include MSSA for simultaneous analysis and forecasting of several time series and 2D-SSA for analysis of digital images. A new extension of 2D-SSA analysis called shaped 2D-SSA is introduced for analysis of images of arbitrary shape, not necessary rectangular. It is shown that implementation of shaped 2D-SSA can serve as a basis for implementation of MSSA and other generalizations. Efficient implementation of operations with Hankel and Hankel-block-Hankel matrices through the fast Fourier transform is suggested. Examples with code fragments in R, which explain the methodology and demonstrate the proper use of Rssa, are presented.
关键词：singular spectrum analysis, time series, image processing, analysis, forecasting, decomposition, R package