Multivariate and 2D Extensions of Singular Spectrum Analysis with the Rssa Package

作者：Golyandina Nina^*; Korobeynikov Anton; Shlemov Alex; Usevich Konstantin

来源：Journal of Statistical Software, 2015, 67(2): 1-78.

• singular spectrum analysis
• time series
• image processing
• analysis
• forecasting
• decomposition
• R package

Implementation of multivariate and 2D extensions of singular spectrum analysis (SSA) by means of the R package Rssa is considered. The extensions include MSSA for simultaneous analysis and forecasting of several time series and 2D-SSA for analysis of digital images. A new extension of 2D-SSA analysis called shaped 2D-SSA is introduced for analysis of images of arbitrary shape, not necessary rectangular. It is shown that implementation of shaped 2D-SSA can serve as a basis for implementation of MSSA and other generalizations. Efficient implementation of operations with Hankel and Hankel-block-Hankel matrices through the fast Fourier transform is suggested. Examples with code fragments in R, which explain the methodology and demonstrate the proper use of Rssa, are presented.

• 出版日期2015-10