Books

The book "Analysis of time series structure: SSA and related techniques" (2001, in English) provides a careful, lucid description of the 'Caterpillar'-SSA general theory and methodology. Based on the authors' original work and filled with applications illustrated with real data sets, this book offers you the opportunity to obtain a working knowledge of why, when, and how SSA works. It builds a strong foundation for successfully using the technique in applications. All examples of the book are obtained with the help of the CaterpillarSSA v3.10 software.

The book "Principal Components of Time Series: the Caterpillar Method" (1997, in Russian) forms the basis of the Russian part of this site. The collection of papers is devoted to the unified theme: methodology (with many examples), theoretical ground and practicality of the method.

Special Issue "Theory and Practice in Singular Spectrum Analysis of Time Series"
of the journal Statistics and Its Interface, 2010, v. 3, No. 3:

• A.Korobeynikov
  Computation- and Space-Efficient Implementation of SSA. P.357-368
  arXiv:0911.4498
• V.Nekrutkin
  Perturbation expansions of signal subspaces for long signals. P.297-319
  arXiv:1001.1051
• K.Usevich
  On signal and extraneous roots in Singular Spectrum Analysis. P.281-295
  arXiv:1006.3436
• N.Golyandina
  On the choice of parameters in Singular Spectrum Analysis and related subspace-based methods. P.259-279
  arXiv:1005.4374

Papers

• D.Stepanov, N.Golyandina
  SSA-based approaches to analysis and forecast of multidimensional time series. In: Proceedings of the 5th St.Petersburg Workshop on Simulation, June 26-July 2, 2005, St. Petersburg State University, St. Petersburg, pp. 293-298 – pdf (156 Kb)
• Th.Alexandrov, N.Golyandina
  Automatic extraction and forecast of time series cyclic components within the framework of SSA. In: Proceedings of the 5th St.Petersburg Workshop on Simulation, June 26-July 2, 2005, St. Petersburg State University, St. Petersburg, pp. 45-50 – pdf (153 Kb)
• N. Golyandina, E. Osipov
  The "Caterpillar"-SSA method for analysis of time series with missing values – pdf (250 Kb)
  Journal of Statistical Planning and Inference, Volume 137, Issue 8, 1 August 2007, Pages 2642-2653
  
• N.Golyandina, K.Usevich, and I.Florinsky
  Filtering of Digital Terrain Models by two-dimensional Singular Spectrum Analysis – pdf (970 Kb)
  International Journal of Ecology & Development, 2007, Vol. 8, No. F07, P.81-94.
• T. Alexandrov, N. Golyandina, and A. Spirov
  Singular Spectrum Analysis of Gene Expression Profiles of Early Drosophila embryo: Exponential-in-Distance Patterns. Research Letters in Signal Processing, vol. 2008, Article ID 825758, 5 pages, 2008. doi:10.1155/2008/825758 pdf (208 Kb)
• N.Golyandina, K.Usevich
  An Algebraic View on Finite Rank in 2D-SSA. In: Proceedings of the 6th St.Petersburg Workshop on Simulation Vol.1, June 28-July 4, 2009, St. Petersburg, VVM com.Ltd., 2009, pp. 308-313 – pdf (155 Kb)
• N.Golyandina, E.Vlassieva
  First-order SSA-errors for long time series: model examples of simple noisy signals. In: Proceedings of the 6th St.Petersburg Workshop on Simulation Vol.1, June 28-July 4, 2009, St. Petersburg, VVM com.Ltd., 2009, pp. 314-319 – pdf (177 Kb)
• N.Golyandina, K.Usevich
  2D-extension of Singular Spectrum Analysis: algorithm and elements of theory. In: Matrix Methods: Theory, Algorithms and Applications (Eds. V.Olshevsky and E.Tyrtyshnikov). World Scientific Publishing, 2010, pp.449-473. – pdf (437 Kb)