ssa: Singular Spectrum Analysis

In jeffniv/math5973NivProj2: A Simple Framework for Singular Spectrum Analysis

Description

This functon constructs an ssa class object to perform a singular spectrum analysis.

Usage

ssa(series, window.length = 12)

Arguments

series	a time-series or spatial-series
window.length	the interval length to consider within series

Details

Singular Spectrum Analysis (SSA) is a model-free technique to analyze a 1-D series and extract signal components from noise components. The four basic steps of SSA are: 1. embedding, 2. singular value decomposition, 3. grouping, 4. reconstruction. This constructor function effectively executes steps 1 and 2. The function windowtest serves as a diagnostic aid for parameter selection. The plot, print, summary, and combinepatterns functions aid the user in step 3. Finally, step 4 is accomplished via the reconstruct function.

Value

an object of class ssa

Examples

obj=ssa(co2,18)
plot(obj)
print(obj)
summary(obj)

jeffniv/math5973NivProj2 documentation built on April 30, 2020, 8:11 p.m.