Statistics and Its Interface

Volume 3 (2010)

Number 3

Singular Spectrum Analysis for time series: Introduction to this special issue

Pages: 255 – 258

DOI: http://dx.doi.org/10.4310/SII.2010.v3.n3.a1

Author

Anatoly Zhigljavsky (School of Mathematics, Cardiff University, Cardiff, United Kingdom)

Abstract

In this introduction we briefly describe the methodology of the Singular Spectrum Analysis (SSA), some versions and extensions of the basic version of SSA as well as connections between SSA and subspace-based methods in signal processing. We also briefly touch upon some history of SSA and mention some areas of application of SSA.

Keywords

singular spectrum analysis, time series analysis, subspace-based methods

2010 Mathematics Subject Classification

60G35, 62M20

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