R package Rssa: A Collection of Methods for Singular Spectrum Analysis. Multivariate and 2D Extensions of Singular Spectrum Analysis with the Rssa Package. 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 base for implementation of MSSA and other generalizations. Efficient implementation of operations with Hankel and Hankel-block-Hankel matrices through FFT 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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References in zbMATH (referenced in 8 articles , 1 standard article )
Showing results 1 to 8 of 8.
- Kalantari, Mahdi: Forecasting COVID-19 pandemic using optimal singular spectrum analysis (2021)
- Andersson, Fredrik; Carlsson, Marcus: ESPRIT for multidimensional general grids (2018)
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- Huffaker, Ray; Bittelli, Marco; Rosa, Rodolfo: Nonlinear time series analysis with R (2017)
- Launonen, Ilkka; Holmström, Lasse: Multivariate posterior singular spectrum analysis (2017)
- Viljoen, Helena: A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis (2017)
- Golyandina, Nina; Korobeynikov, Anton: Basic singular spectrum analysis and forecasting with R (2014)
- Nina Golyandina, Anton Korobeynikov, Alex Shlemov, Konstantin Usevich: Multivariate and 2D Extensions of Singular Spectrum Analysis with the Rssa Package (2013) arXiv