Analysis of Time Series Structure SSA and Related Techniques

$25.00

Size 9.7 MB

  • Series:Chapman & Hall/CRC Monographs on Statistics & Applied Probability (Book 90)
  • PDF:320 pages
  • Publisher:Chapman and Hall/CRC; 1 edition (January 23, 2001)
  • Language:English
  • ISBN-10:1584881941
  • ISBN-13:978-1584881940

Description

Analysis of Time Series Structure SSA and Related Techniques

Over the final 15 years, singular spectrum evaluation (SSA) has confirmed very profitable. It has already turn into an ordinary software in climatic and meteorological time collection evaluation and well-known in nonlinear physics and sign processing. However, regardless of the promise it holds for time collection purposes in different disciplines, SSA just isn’t extensively identified amongst statisticians and econometrists, and though the fundamental SSA algorithm seems easy, understanding what it does and the place its pitfalls lay is on no account easy.

Analysis of Time Series Structure: SSA and Related Techniques offers a cautious, lucid description of its basic principle and methodology. Part I introduces the fundamental ideas, and units forth the principle findings and outcomes, then presents an in depth remedy of the methodology. After introducing the fundamental SSA algorithm, the authors discover forecasting and apply SSA concepts to change-point detection algorithms. Part II is dedicated to the idea of SSA. Here the authors formulate and show the statements of Part I. They deal with the singular worth decomposition (SVD) of actual matrices, time collection of finite rank, and SVD of trajectory matrices.

Based on the authors’ unique work and crammed with purposes illustrated with actual knowledge units, this ebook gives an excellent alternative to acquire a working data of why, when, and how SSA works. It builds a powerful basis for efficiently utilizing the approach in purposes starting from arithmetic and nonlinear physics to economics, biology, oceanology, social science, engineering, monetary econometrics, and market analysis.

Review:

[This] is the primary ebook on SSA geared toward statisticians. The authors present clear and concise descriptions of the fundamental methodology of this new approach, and it is a welcome reference textual content for time collection practitioners. … This ebook offers the background to efficiently perceive and intelligently apply SSA. I strongly advocate it to anybody concerned about time collection evaluation.
– Journal of the American Statistical Association

This ebook summarizes the outcomes revealed on SSA within the final 15 years. It is an effective supply of SSA methodology for scientists who want to complement classical procedures for time collection evaluation by SSA instruments.
– Mathematical Reviews, Issue 2002

…the formal mathematical principle, which underpins the strategy, is laid out with admirable readability. The authors have carried out a service to the statistical group by scripting this ebook. It is prone to turn into the usual reference to SSA; useful to the utilized statistician who needs to analyse a occasions collection and additionally to the theoretician who could want to develop this fascinating strategy to time collection evaluation additional.
Short Book Reviews of the ISI

The current monograph is devoted to a lately proposed approach, singular spectrum evaluation (SSA), that may be thought of an extension of Pearson’s drawback to the state of affairs during which the factors within the house correspond to realizations of a time collection…it is a vital contribution to a contemporary space that’s changing into more and more wanted in issues of electrical engineering, economics, meteorology, oceanography, and different fields. The authors ought to be recommended for bringing this methodology to the eye of the statistical group.
-Andrew L. Rukhin, University of Maryland at Baltimore County for Technometrics, August 2002

Related Products