Download Singular Spectrum Analysis: A New Tool in Time Series by J.B. Elsner,A.A. Tsonis PDF

By J.B. Elsner,A.A. Tsonis

The time period singular spectrum comes from the spectral (eigenvalue) decomposition of a matrix A into its set (spectrum) of eigenvalues. those eigenvalues, A, are the numbers that make the matrix A -AI singular. The time period singular spectrum research· is unlucky because the conventional eigenvalue decomposition regarding multivariate information is additionally an research of the singular spectrum. extra safely, singular spectrum research (SSA) might be known as the research of time sequence utilizing the singular spectrum. Spectral decomposition of matrices is key to a lot the­ ory of linear algebra and it has many purposes to difficulties within the common and similar sciences. Its frequent use as a device for time­ sequence research in all fairness contemporary, in spite of the fact that, rising to a wide volume from purposes of dynamical platforms concept (sometimes known as chaos theory). SSA used to be brought into chaos idea by means of Fraedrich (1986) and Broomhead and King (l986a). ahead of this, SSA was once utilized in organic oceanography via Colebrook (1978). within the digi­ tal sign processing group, the method can also be often called the Karhunen-Loeve (K-L) enlargement (Pike et aI., 1984). Like different concepts in response to spectral decomposition, SSA is beautiful in that it holds a promise for a discount within the dimen- • Singular spectrum research is usually referred to as singular structures research or singular spectrum strategy. vii viii Preface sionality. This aid in dimensionality is usually observed by means of an easier clarification of the underlying physics.

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