Generalized Singular Spectrum Time Series Analysis

Martin Nilsson

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arXiv · physics/0205094

Generalized Singular Spectrum Time Series Analysis

Martin Nilsson

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Abstract

This paper is a study of continuous time Singular Spectrum Analysis (SSA). We show that the principal eigenfunctions are solutions to a set of linear ODEs with constant coefficients. We also introduce a natural generalization of SSA, constructed using local (Lie-) transformation groups. The time translations used in standard SSA is a special case. The eigenfunctions then satisfy a simple type of linear ODE with time dependent coefficient, determined by the infinitesimal generator of the transformation group. Finally, more general one parameter mappings are considered.

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Martin Nilsson. 2002-05-31. Generalized Singular Spectrum Time Series Analysis. https://arxiv.org/abs/physics/0205094

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