On the separability between signal and noise in singular spectrum analysis

Hassani, Hossein, Mahmoudvand, Rahim, Zokaei, Mohammad and Ghodsi, Mansoureh 2012. On the separability between signal and noise in singular spectrum analysis. Fluctuation and Noise Letters 11 (02) , pp. 1250014-1250025. 10.1142/S0219477512500149

Full text not available from this repository.

Abstract

The optimal value of the window length in singular spectrum analysis (SSA) is considered with respect to the concept of separability between signal and noise component, from the theoretical and practical perspective. The theoretical results confirm that for a wide class of time series of length N, the suitable value of this parameter is median{1, …, N}. The results of both simulated and real data verify the effectiveness of the theoretical results. The theoretical results obtained here coincide with those obtained previously from the empirical point of view.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Mathematics
Subjects:	Q Science > QA Mathematics
Publisher:	World Scientific Publishing
ISSN:	0219-4775
Last Modified:	10 Oct 2017 14:54
URI:	https://orca.cardiff.ac.uk/id/eprint/42634

Citation Data

Cited 34 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item