Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

Approximate projectors in singular spectrum analysis

Escott-Price, Valentina ORCID: and Schmidt, Karl Michael ORCID: 2003. Approximate projectors in singular spectrum analysis. SIAM Journal on Matrix Analysis and Applications (SIMAX) 24 (4) , pp. 932-942. 10.1137/S0895479801398967

[thumbnail of Moskvina 2003.pdf]
PDF - Published Version
Download (262kB) | Preview


Singular spectrum analysis (SSA) is a method of time-series analysis based on the singular value decomposition of an associated Hankel matrix. We present an approach to SSA using an effective and numerically stable high-degree polynomial approximation of a spectral projector, which also provides a means of time-series forecasting. Several numerical examples illustrating the algorithm are given.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
MRC Centre for Neuropsychiatric Genetics and Genomics (CNGG)
Uncontrolled Keywords: Hankel matrix ; Singular value decomposition ; Spectral projector ; Polynomial approximation
Additional Information: Pdf uploaded in accordance with publisher's policy at (accessed 28/02/2014).
Publisher: Society for Industrial and Applied Mathematics
ISSN: 0895-4798
Date of First Compliant Deposit: 30 March 2016
Last Modified: 04 May 2023 07:09

Citation Data

Cited 17 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item Edit Item


Downloads per month over past year

View more statistics