Description Usage Arguments Value Author(s) Examples
Fit a Singular Spectrum Analysis (SSA) model to a univariate time series. This function provides options for interactively choosing the number of components to retain, controlling verbosity of the output, and producing diagnostic and other plots.
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tsdata |
A vector containing univariate time series data. |
window |
Window length for the SSA model. Should be a value between 2 and half the length of the time series. |
train.periods |
Number of data points (at the start of the time series) used for training the SSA model. |
q |
Number of SSA components to retain for modelling purposes, if known in advance. Ignored if |
prop.var.exp |
Required minimum proportion of variation accounted for by the SSA model. Should be a value in the range (0, 1]. |
verbose |
Logical ( |
plot |
Logical ( |
Returns a list with the components:
tsdata |
Original time series data. |
fitted |
Fitted/predicted values from the SSA model. |
values |
Singular values. |
vectors |
Singular vectors. |
q |
Number of components retained in SSA model. |
projmat |
Projection matrix for the SSA model. |
rowmeans |
Row means of the training data trajectory matrix. |
Theo Pepler
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