2013
DOI: 10.1007/s10898-013-0117-3
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A study of singular spectrum analysis with global optimization techniques

Abstract: Abstract. Singular spectral analysis has recently become an attractive tool in a broad range of applications. Its main mechanism of alternating between rank reduction and Hankel projection, however, deserves further mathematical justification. Exploiting a natural parametrization of a general Hankel matrix via its Vandermonde factorization, this paper recasts the numerical scheme for the singular spectral analysis as a semi-linear least squares problem over a compact feasible set. Such a formulation makes it p… Show more

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Cited by 9 publications
(29 citation statements)
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“…When compared with other time series analysis methods, it shows certain superiority, potentials and broader application areas and competes with more standard methods in the area of time series analysis [27,30,39,40].…”
Section: Overviewmentioning
confidence: 99%
See 4 more Smart Citations
“…When compared with other time series analysis methods, it shows certain superiority, potentials and broader application areas and competes with more standard methods in the area of time series analysis [27,30,39,40].…”
Section: Overviewmentioning
confidence: 99%
“…The SSA is a model free and non-parametric method consists of two complementary stages which are decomposition and reconstruction [27,29,40,41], as shown in Figure 1. The method is mainly based on statistical approaches and many basic operations of the SSA algorithm are elementary linear algebra [12,31,40,42]. The key element in the de-nosing process is to remove the noise without losing a significant portion of the signal and this can be accomplished with the SSA [12,33].…”
Section: Overviewmentioning
confidence: 99%
See 3 more Smart Citations