Examples: Time series analysis


The 'Caterpillar'-SSA is an appropriate technique for smoothing time series. Natural decomposition of the time series is constructed on the base of the unique parameter (the window length). Grouping slowly changing components, you can separate the low-frequency components from the high-frequency components of the time series.

Tree rings: smoothing result
Figure 1.3: Tree rings: smoothing result

Tree rings: residuals
Figure 1.4: Tree rings: residuals

Data: "Tree rings"

Description: tree ring indices, Douglas fir, Snake river basin, U.S., annual, from 1282 to 1950

Source: Time Series Data Library maintained by Rob Hyndman

Parameters: window length = 120

Figure 1.3: the time series component reconstructed from the leading 7 eigentriples (red line) and the initial time series

Figure 1.4: residuals of the reconstruction from the leading 7 eigentriples


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