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...
New York, NY :
Springer US : Imprint: Springer,
|Edition:||1st ed. 1996.|
|Series:||Springer eBook Collection.
|Online Access:||Click to view e-book|
|Holy Cross Note:||Loaded electronically.|
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- 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