SpringerBriefs in Statistics

Singular Spectrum Analysis for Time Series

Authors: Golyandina, Nina, Zhigljavsky, Anatoly

  • Presents the methodology of SSA
  • Shows how to use SSA both safely and with maximum effect
  • For professional statisticians, econometricians and specialists in any discipline
  • For students taking courses on applied time series analysis
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Buy this book

eBook $29.99
price for USA (gross)
  • ISBN 978-3-642-34913-3
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $39.95
price for USA
  • ISBN 978-3-642-34912-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
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  • can be used across all devices
About this book

Singular spectrum analysis (SSA) is a technique of time series analysis and forecasting combining elements of classical time series analysis, multivariate statistics, multivariate geometry, dynamical systems and signal processing. SSA seeks to decompose the original series into a sum of a small number of interpretable components such as trend, oscillatory components and noise. It is based on the singular value decomposition of a specific matrix constructed upon the time series. Neither a parametric model nor stationarity are assumed for the time series. This makes SSA a model-free method and hence enables SSA to have a very wide range of applicability. The present book is devoted to the methodology of SSA and shows how to use SSA both safely and with maximum effect. Potential readers of the book include: professional statisticians and econometricians, specialists in any discipline in which problems of time series analysis and forecasting occur, specialists in signal processing and those needed to extract signals from noisy data, and students taking courses on applied time series analysis.

Reviews

From the reviews:

“This book is fully devoted to the methodology of a technique for time series analysis and forecasting called singular spectrum analysis (SSA). … The authors of the book are well-known statisticians, and specialists in time series analysis. … this book is a valuable addition to the literature on time series analysis and will therefore be well received by statisticians and specialists in many other fields interested in the analysis of time series data.” (K. S. Padmanabhan, zbMATH, Vol. 1276, 2014)

Table of contents (3 chapters)

  • Introduction

    Golyandina, Nina (et al.)

    Pages 1-10

  • Basic SSA

    Golyandina, Nina (et al.)

    Pages 11-70

  • SSA for Forecasting, Interpolation, Filtration and Estimation

    Golyandina, Nina (et al.)

    Pages 71-119

Buy this book

eBook $29.99
price for USA (gross)
  • ISBN 978-3-642-34913-3
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $39.95
price for USA
  • ISBN 978-3-642-34912-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Singular Spectrum Analysis for Time Series
Authors
Series Title
SpringerBriefs in Statistics
Copyright
2013
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
The Author(s)
eBook ISBN
978-3-642-34913-3
DOI
10.1007/978-3-642-34913-3
Softcover ISBN
978-3-642-34912-6
Series ISSN
2191-544X
Edition Number
1
Number of Pages
IX, 120
Number of Illustrations and Tables
3 b/w illustrations, 38 illustrations in colour
Topics