filterTSeriesSSA: Decompose a vector (i.e. time series) into spectral bands

Description Usage Arguments Details Value Author(s) References See Also Examples

Description

This function decomposes (or filters) a time series into a set of orthogonal (i.e. additive) components with variance on different and distinct timescales (i.e. within different bands). It uses the fast and optimized Singular Spectrum Analysis (SSA) method of Korobeynikov (2010).

Usage

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filterTSeriesSSA(series, borders.wl, M = rep(floor(length(series)/3), 
    times = n.steps), n.comp = rep(40, times = n.steps), harmonics = rep(0, 
    times = n.steps), tolerance.harmonics = 0.05, var.thresh.ratio = 0.005, 
    grouping = c("grouping.auto", "groupSSANearestNeighbour")[1], 
    groupingMethod = "wcor", repeat.extr = rep(1, times = length(borders.wl)), 
    recstr.type = "subtraction", pad.series = c(0, 0),
    SSA.methods = c("nutrlan", "propack", "eigen", "svd"),
    center.series = TRUE, call.freq = quote(calcFrequency(series.t)), 
    n.steps = switch(class(borders.wl), list = length(borders.wl), 
        dim(borders.wl)[2]), plot.spectra = FALSE, second.axis = TRUE, 
    open.plot = TRUE, print.stat = TRUE, xlim = c(), debugging = FALSE, 
    ...)

Arguments

series

numeric vector: Input time series (no gaps!)

borders.wl

list of numeric vectors: Borders of the different periodicity bands to extract. Units are the sampling frequency of the series (needs one vector per step (see details)).

M

integer (vector): Window length or embedding dimension (see details and ?ssa) (in ssa() this parameter is called L).

n.comp

integer (vector): Amount of SSA components to compute. See the help of ssa (package Rssa) for details.

harmonics

integer (vector): How many harmonics to include in each component (see details). No harmonics are used if set to 0 (default).

tolerance.harmonics

numeric fraction (0-1): Tolerance to use to determine the width of the bands the harmonics are looked for in. The actual width is calculated by multiplying the frequency of the "main" oscillation with this ratio. Use higher values for oscillations with few repetitions (and, hence, wider peaks in a spectrum) and lower ones with those with many repetitions (and thus sharper peaks).

var.thresh.ratio

numeric fraction(0-1): Variance threshold below which eigentriples are treated as "noise" and will not be included in the groups. The actual threshold is calculated by multiplying the total variance of the time series with this fraction.

grouping

character string: Method to use for grouping the individual SSA eigentriples. 'grouping.auto' uses the function of that name in package Rssa, 'groupSSANearestNeighbour' employs a rather crude scheme based on finding pairs (or larger groups) in an euclidian distance matrix of the reconstructions of all extracted SSA eigentriples. See ?grouping.auto or ?groupSSANearestNeighbour for details.

groupingMethod
repeat.extr

integer value/vector: How often to repeat the extraction. If the respective value is > 1 than the result of the extraction is again subject to spectral decomposition/filtering for n times and only the (filtered) result is treated as the actual band (see details).

recstr.type

string: How to determine the high frequency residuals. If == 'subtraction', the high frequency signal is computed by subtracting all other signals from the original series (see details). For all other values only extracted eigentriples with high frequencies are grouped in this band.

pad.series

integer vector (length 2): Length of the part of the series to use for padding at the start (first value) and at the end of the series. Values of zero (default) cause no padding.

SSA.methods

character vector: Methods to use for the SSA computation. First the first method is tried, when convergence fails, the second is used and so on. See the help of ssa() in package Rssa for details on the methods. It is preferable to use more than one method as some methods (especially nutrlan) in some cases do not converge. The last two methods are relatively slow.

center.series

logical: Whether to center the series around zero prior to the computation. The (subtracted) mean will be added to the long term 'trend' component, e.g. to the step containing an Inf value in borders.wl. Not centering of the series may cause erroneous trend extraction in some cases!

call.freq

'quoted' function call : call to a function to compute the frequency of the 'major' oscillation present in some time series. This is used to compute the frequency of the (grouped) SSA eigentriples. See the help for 'calcFrequency' for details of the default mechanism.

n.steps

integer: Amount of steps in the process. This argument is only kept for backwards compatibility. Do not supply or change any values!

plot.spectra

logical: Whether to plot pseudo spectra for the different steps.

second.axis

logical: Whether to plot a second axis with period units

open.plot

logical: Whether to open a new plotting window for the plots. Set this to FALSE and open and set up a device prior to running the function to specify or change the device options.

print.stat

logical: whether to print status information during the calculations.

xlim

numeric vector: x-limits for the plotted spectra. If not supplied it goes from 1 / n....0,5.

debugging

logical: if TRUE, workspaces are saved that can be used for debugging non convergence cases that do not cause R errors but may indicate a possible error in the settings, data or code.

...

miscellaneous: further arguments passed to the plotting routines.

Details

Purpose The function is based on "singular spectrum analysis" (SSA) (Golyandina et al. (2001)) based on the Rssa package (Korobeynikov (2010), see Golyandina et al. (2013) for a basic introduction).

Definition of the period borders (borders.wl): borders.wl contains the borders of the different periodicity bands to extract. Units are sampling frequency of the series. borders.wl has to be a list with one element per desired decomposition step (see also 'stepwise extraction'). In the case of a single band to be extracted, this vector has to consist of two values (e.g. c(<lower border>,<upper.border>)). In the case of the extraction of several bands per step, the upper border of each band is automatically the lower border of the next band. A value of c(0, 10, 100) would, hence, result in the extraction of two bands, one consisting of eigentriples with periods between 0 and 10 timesteps and one with periods between 10 and 100 timesteps. As a result the vector has to consist of one more value than desired groups. If the vector starts with 0 (and recstr.type = 'subtraction') all high frequency oscillations are combined this group. Use the value INF as the upper band for the long term trend (if desired) to savely include all low frequency parts here.

Window length (M): For optimal detection of spectral components the window length or embedding dimension M should be an integer multiple of the period of the oscillation that is to be extracted. See also ?ssa (here the same parameter is called L)

Padding (pad.series): For padding, the series should start and end exactly at the start and end of a major oscillation (e.g. a yearly cycle). Additionally the length to use for padding should be a integer multiple of this period length. The padding is solved internally by adding the indicated part of the series at the start and at the end of the series. This padded series is only used internally and only the part of the series with original data is returned in the results.

High frequency part (recstr.type): Two different ways to compute the high frequency part (e.g. the part with a frequency between 0 and the lowest border.wl value) are implemented. The standard way (if recstr.type == 'subtraction') is to sum all eigentriples with lower frequencies and subtract this sum from the original series to compute this as the high frequency residual. Otherwise (if (recstr.type != 'subtraction')) only the eigentriples with such high frequencies that were actually extracted are used to build this spectral band.

Stepwise extraction: In general the whole algorithm can be run stepwise. This means that first a certain spectral band is computed (with all possible harmonies etc. ...) and subtracted from the original series. Subsequently this process can be repeated with the residual as often as wanted. This allows for the adaptation of, for example, M, harmonics, ... to the particular oscillation to be extracted. Additionally it often this often leads to a clearer signal separation. To implement several steps, each of M, n.comp and harmonics needs to be a vector of the length of the amount of steps. For each step the corresponding element of this vector is used. borders.wl needs to contain one list entry per step which needs to be a vector containing all borders of the bands to extract in this step (see 'Definition of the period borders').

Repeated extraction (repeat.extr): Especially for the trend it may be advisable to repeat the filtering step for this particular band. In this case the result of the first filtering (e.g. the sum of all eigentriples within this band) is filtered again n times with the same period borders. Finally only the final filtered components are summed and treated as the actual spectral band. In many cases this is helpful to exclude high frequency parts from the trend or low frequency components. It is only possible to repeat the extraction for steps where single bands are extracted.

Visualize results (plot.spectra): In the case that diagnostic plots should be plotted (plot.spectra == TRUE) one (or more) pseudospectra are plotted. Each point in these represents one group of eigentriples determined. For each step a separate plot is produced. Colored regions represent the specified spectral bands. grey lines in the background represent a Fourier Spectrum of the original series.

Value

list with components

dec.series

numeric matrix: decomposed timeseries. Each row of this matrix contains one spectrally filtered component. There are as many rows as period borders (borders.wl) were defined.

borders

numeric matrix: The lower (first column) and upper (second column) period borders of each filtered component. The rows here correspond to the rows in "dec.series".

settings

list: Settings used to perform the calculation.

Author(s)

Jannis v. Buttlar

References

Golyandina, N.; Nekrutkin, V.; Nekrutkin, V. & Zhigljavsky, A. (2001), Analysis of time series structure: SSA and related techniques, CRC Press Korobeynikov, A. (2010), Computation- and space-efficient implementation of SSA. Statistics and Its Interface, Vol. 3, No. 3, Pp. 257-268 Golyandina, N. & Korobeynikov, A. (2013), 'Basic Singular Spectrum Analysis and forecasting with R', Computational Statistics & Data Analysis.

See Also

ssa,calcFrequency

Examples

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#create series consisting of two oscillations and noise
series.ex <- sin(2 * pi * 1:1000 / 100) +  0.7 * sin(2 * pi * 1:1000 / 10)  +
  rnorm(n = 1000, sd = 0.4)

#prepare graphics
layout(matrix(c(1, 2, 3, 4, 5, 6, 7, 8), ncol = 2))
par(tcl = 0.2, mgp = c(2, 0, 0), mar = c(0, 4, 0, 0), oma = c(2, 0, 2, 0),
    ps = 10, cex = 1)
plot.new()

#perform decomposition
data.decomposed <- filterTSeriesSSA(series = series.ex,
    borders.wl = list(a = c(8, 12), b = c(80, 120)
        , c = c(0, 10, 100, Inf)),
    M = c(30, 200, 100),
    n.comp = c(10, 20, 20),
    harmonics = c(1, 0, 0),
    plot.spectra = TRUE, open.plot = FALSE)

#plot series and spectral parts
plot(series.ex)
plot(data.decomposed$dec.series[1, ], ylab = '')
plot(data.decomposed$dec.series[2, ], ylab = '')
plot(colSums(data.decomposed$dec.series[-c(1:2), ]), ylab = '')
mtext(side = 2, outer = TRUE, at = -(1 / 8) + ((4:1) * (1 / 4)),
    c('orig.series', '1.step', '2.step', '3.step'), las = 3, cex = 1.5, line = -1)
mtext(side = 3, outer = TRUE, at = -(1 / 4) + ((1:2) * (1 / 2)),
    c('pseudospectra', 'identified components'), las = 1, cex = 1.5, line = 1)

spectral.methods documentation built on May 29, 2017, 9:12 a.m.