Hassani, Hossein, Mahmoudvand, Rahim and Zokaei, Mohammad 2011. Separability and window length in singular spectrum analysis. Comptes Rendus Mathematique 349 (17-18) , pp. 987-990. 10.1016/j.crma.2011.07.012 |
Official URL: http://dx.doi.org/10.1016/j.crma.2011.07.012
Abstract
To find the optimal value of window length in singular spectrum analysis (SSA), we consider the concept of separability between the signal and noise component. The theoretical results confirm that for a wide class of time series, the suitable value of this parameter is median{1,…,T} with the series of length T. The theoretical results obtained here coincide with those obtained previously from the empirical point of view.
Item Type: | Article |
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Date Type: | Publication |
Status: | Published |
Schools: | Mathematics |
Subjects: | Q Science > QA Mathematics |
Language other than English: | French |
Publisher: | Elsevier |
ISSN: | 1631-073X |
Last Modified: | 19 Mar 2016 22:42 |
URI: | https://orca.cardiff.ac.uk/id/eprint/24418 |
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