Basic Singular Spectrum Analysis and forecasting with R

Authors:
Nina Golyandina;Anton Korobeynikov
Affiliations:
-;-
Venue:
Computational Statistics & Data Analysis
Year:
2014

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Abstract

Singular Spectrum Analysis (SSA) is a powerful tool of analysis and forecasting of time series. The main features of the Rssa package, which efficiently implements the SSA algorithms and methodology in R, are described. Analysis, forecasting and parameter estimation are demonstrated using case studies. These studies are supplemented with accompanying code fragments.