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

The term singular spectrum comes from the spectral (eigenvalue) decomposition of a matrix A into its set (spectrum) of eigenvalues. These eigenvalues, A, are the numbers that make the matrix A -AI singular. The term singular spectrum analysis· is unfortunate since the traditional eigenvalue decompos...

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Bibliographic Details
Main Authors: Elsner, J.B. (Author,, Tsonis, A.A. (
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Published: New York, NY : Springer US : Imprint: Springer, 1996.
Edition:1st ed. 1996.
Series:Springer eBook Collection.
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • I. Mathematical Notes
  • 1. Review of Linear Algebra
  • 2. Eigenvalues and Eigenvectors
  • 3. Multivariate Statistics
  • II. Theory and Methods
  • 4. Foundations of SSA
  • 5. Details
  • 6. Noise
  • III. Applications
  • 7. Signal Detection
  • 8. Filtering
  • 9. Prediction
  • 10. Phase Space Reconstruction
  • References.