Generalized Singular Spectrum Time Series Analysis

Details Generalized Singular Spectrum Time Series Analysis Generalized Singular Spectrum Time Series Analysis

2002-05-31

arxiv.org/abs/physics/0205094v1

Physics

Data Analysis, Statistics and Probability

6 pages

Scientific paper

This paper is a study of continuous time Singular Spectrum Analysis (SSA). We show that the principal eigenfunctions are solutions to a set of linear ODEs with constant coefficients. We also introduce a natural generalization of SSA, constructed using local (Lie-) transformation groups. The time translations used in standard SSA is a special case. The eigenfunctions then satisfy a simple type of linear ODE with time dependent coefficient, determined by the infinitesimal generator of the transformation group. Finally, more general one parameter mappings are considered.

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