Multivariate posterior singular spectrum analysis

被引：0
作者：
Ilkka Launonen
Lasse Holmström
机构：
[1] University of Oulu,Department of Mathematical Sciences
来源：
Statistical Methods & Applications | 2017年 / 26卷
关键词：
Time series; SSA; Bayesian inference; Multivariate; Climate index;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A generalized, multivariate version of the Posterior Singular Spectrum Analysis (PSSA) method is described for the identification of credible features in multivariate time series. We combine Bayesian posterior modeling with multivariate SSA (MSSA) and infer the MSSA signal components with a credibility analysis of the posterior sample. The performance of multivariate PSSA (MPSSA) is compared to the single-variate PSSA with an artificial example and the potential of MPSSA is demonstrated with real data using NAO and SOI climate index series.
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页码：361 / 382
页数：21
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