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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Page views:: 5184. Submitted: 2013-09-18. Published: 2015-10-07. |
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Paper: |
Multivariate and 2D Extensions of Singular Spectrum Analysis with the Rssa Package
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DOI: |
10.18637/jss.v067.i02
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![]() This work is licensed under the licenses Paper: Creative Commons Attribution 3.0 Unported License Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license. |