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

Golyandina, Nina; Korobeynikov, Anton; Shlemov, Alexander; Usevich, Konstantin

doi:10.18637/jss.v067.i02

Public

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

Published in arXiv (Cornell University) • Aug 16, 2016

Authors:

Nina Golyandina

Anton Korobeynikov

Alexander Shlemov

Abstract

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 analysi...

Subject

Multivariate statistics

Multivariate analysis

Singular spectrum analysis

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