A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis

被引:1
作者
Viljoen, Helena [1 ]
机构
[1] Stellenbosch Univ, Stat & Actuarial Sci, Private Bag X1, ZA-7602 Stellenbosch, South Africa
关键词
Multivariate time series; Signal estimation; Singular value decomposition; Stepwise common principal components Simulation; PRINCIPAL COMPONENTS; MULTIVARIATE;
D O I
10.1080/03610918.2016.1217010
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
The problem of forecasting a time series by using information provided by a second time series is considered. Two multivariate extensions of Singular Spectrum Analysis (SSA) are compared in terms of forecast error: Horizontal Multi-channel SSA and Stepwise Common SSA. Different signal structures, defined in terms of trend, period, amplitude and phase, are investigated. In broad terms we find that neither Horizontal Multi-channel SSA nor Stepwise Common SSA is best in all cases. Horizontal MSSA is outperformed particularly in cases where different trends are considered.
引用
收藏
页码:6865 / 6878
页数:14
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