Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Multivariate and 2D Extensions of Singular Spectrum Analysis with the Rssa Package | Golyandina | Journal of Statistical Software
Authors: Nina Golyandina, Anton Korobeynikov, Alex Shlemov, Konstantin Usevich
Title: Multivariate and 2D Extensions of Singular Spectrum Analysis with the Rssa Package
Abstract: Implementation of multivariate and 2D extensions of singular spectrum analysis (SSA) by means of the R package Rssa is considered. The extensions include MSSA for simultaneous analysis and forecasting of several time series and 2D-SSA for analysis of digital images. A new extension of 2D-SSA analysis called shaped 2D-SSA is introduced for analysis of images of arbitrary shape, not necessary rectangular. It is shown that implementation of shaped 2D-SSA can serve as a basis for implementation of MSSA and other generalizations. Efficient implementation of operations with Hankel and Hankel-block-Hankel matrices through the fast Fourier transform is suggested. Examples with code fragments in R, which explain the methodology and demonstrate the proper use of Rssa, are presented.

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Paper: Multivariate and 2D Extensions of Singular Spectrum Analysis with the Rssa Package     Download PDF (Downloads: 1269)
Supplements:
Rssa_0.13-1.tar.gz: R source package Download (Downloads: 144; 1009KB)
v67i02.R: R replication code Download (Downloads: 214; 14KB)
v67i02-replication.zip: Replication materials Download (Downloads: 103; 635KB)
DOI: 10.18637/jss.v067.i02

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Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.