autossa: Group elementary series using periodogram

In asl/rssa: A Collection of Methods for Singular Spectrum Analysis

Group elementary series using periodogram

Description

Group elementary components automatically using their frequency contributions

Usage

  ## S3 method for class '1d.ssa'
grouping.auto.pgram(x, groups,
             base = c("series", "eigen", "factor"),
             freq.bins = 2,
             threshold = 0,
             method = c("constant", "linear"),
             ...,
             drop = TRUE)
  ## S3 method for class 'grouping.auto.pgram'
plot(x, superpose, order, ...)

Arguments

x	SSA object
groups	indices of elementary components for grouping
base	input for periodogram: elementary reconstructed series, eigenvectors or factor vectors
freq.bins	single integer number > 1 (the number of intervals), vector of frequency breaks (of length >=2) or list of frequency ranges. For each range, if only one element provided it will be used as the upper bound and the lower bound will be zero
threshold	contribution threshold. If zero then dependent grouping approach will be used
method	method of periodogram interpolation
superpose	logical, whether to plot contributions for all intervals on one panel
order	logical, whether to reorder components by contribution
...	additional arguments passed to reconstruct and xyplot routines
drop	logical, whether to exclude empty groups from resulted list

Details

Elementary components are grouped using their frequency contribution (periodogram). Optionally (see argument 'base') periodogram of eigen or factor vectors may be used.

For each elementary component and for each frequency interval (which are specified by 'freq.bins' argument) relative (from 0 till 1) contribution is computed using one of two methods: 'constant' (periodogram is considered as a sequence of separate bars) or 'linear' (periodogram is linearly interpolated).

Two approaches of grouping is implemented:

'independent' or 'threshold'

Each group includes components with frequency contribution in correspondent interval is greater than specified threshold; resulted groups can intersect. If 'threshold' is a vector, correspondent value of threshold will be using for each interval. See Algorithm 2.16 in Golyandina et al (2018).

'dependent' or 'splitting'

Elementary components are separated to disjoint subsets; for each component interval with the highest contribution is selected. See Algorithm 2.17 in Golyandina et al (2018)

If 'freq.bins' is named, result groups will take the same names.

If drop = 'TRUE' (by default), empty groups will be excluded from result.

See Section 2.7 in Golyandina et al (2018) and the paper Alexandrov, Golyandina (2005) for the details of the algorithm.

Value

object of class 'grouping.auto.pgram' (list of groups with some additional info) for grouping method; 'trellis' object for plot method.

References

Golyandina N., Korobeynikov A., Zhigljavsky A. (2018): Singular Spectrum Analysis with R. Use R!. Springer, Berlin, Heidelberg.

Alexandrov, Th., Golyandina, N. (2005): Automatic extraction and forecast of time series cyclic components within the framework of SSA. In Proceedings of the 5th St.Petersburg Workshop on Simulation, June 26 – July 2, 2005, St.Petersburg State University, St.Petersburg, Pp. 45–50 https://www.gistatgroup.com/gus/autossa2.pdf

See Also

Rssa for an overview of the package, as well as, reconstruct, rforecast, vforecast, parestimate

Examples

  ss <- ssa(co2)
  plot(ss, type = "vectors", idx = 1:12)
  plot(ss, type = "vectors", vectors = "factor", idx = 1:12)
  plot(ss, type = "series", groups = 1:12)

  g1 <- grouping.auto(ss, base = "series", freq.bins = list(0.005), threshold = 0.95)
  g2 <- grouping.auto(ss, base = "eigen", freq.bins = 2, threshold = 0)
  g3 <- grouping.auto(ss, base = "factor", freq.bins = list(c(0.1), c(0.1, 0.2)), 
                      threshold = 0, method = "linear")
  g4 <- grouping.auto(ss, freq.bins = c(0.1, 0.2), threshold = 0)

  g <- grouping.auto(ss, freq.bins = 8, threshold = 0)
  plot(reconstruct(ss, groups = g))
  plot(g)

  g <- grouping.auto(ss, freq.bins = list(0.1, 0.2, 0.3, 0.4, 0.5), threshold = 0.95)
  plot(reconstruct(ss, groups = g))
  plot(g)

asl/rssa documentation built on Aug. 29, 2022, 10:16 a.m.