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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