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

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2017年 / 46卷 / 09期

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

页码：6865 / 6878

页数：14

共 18 条

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