Analysis and Forecast
 
 
 
 
 
Time series analysis and forecast
 
RSS channel
 
 
 
 
 
Forecast Time Series

 

Caterpillar SSA - time series analysis and forecast

 

SSA with R

  • N.Golyandina, A.Korobeynikov, A.Shlemov, K.Usevich.
    Multivariate and 2D Extensions of Singular Spectrum Analysis with the Rssa Package.
    Journal of Statistical Software, v.67, Issue 2, 2015, pp.1-78.
    Open access in J.Stat.Soft.
  • N.Golyandina, A.Korobeynikov
    Basic Singular Spectrum Analysis and Forecasting with R.
    Computational Statistics and Data Analysis. Volume 71, March 2014, pp.934-954.
    Arxiv version: arXiv:1206.6910
  • The package Rssa can be found on CRAN, version R 3.0 or newer is needed.

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)

 
 
 
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Analysis Time Series