2019
DOI: 10.48550/arxiv.1906.05232
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Functional Singular Spectrum Analysis

Abstract: In this paper, we introduce a new extension of the Singular Spectrum Analysis (SSA) called functional SSA to analyze functional time series. The new methodology is developed by integrating ideas from functional data analysis and univariate SSA. We explore the advantages of the functional SSA in terms of simulation results and with an application to a call center data. We compare the proposed approach with Multivariate SSA (MSSA) and Functional Principal Component Analysis (FPCA). The results suggest that furth… Show more

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References 21 publications
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