Apresentacao CIDMA 2010

Isabel Silva Principal Component Analysis for Time Series
Principal Component Analysis for Time

Series
Isabel Silva
Departamento de Engenharia Civil, Faculdade de Engenharia da Universidade do Porto
Centro de Investigação e Desenvolvimento em Matemática e Aplicações (CIDMA), Universidade de Aveiro
Seminário do Grupo de Probabilidades e Estatística
21 de Abril de 2010
Seminário do Grupo de Probabilidades e Estatística 1 / 24

Outline
Motivation
Principal Component Analysis for time series
◮ Classic Principal Component Analysis
◮ Weighted Principal Component Analysis
◮ Dynamics Principal Component Analysis
◮ Singular Spectrum Analysis / Multi-Channel Singular Spectrum Analysis
Illustration
Final remarks
Seminário do Grupo de Probabilidades e Estatística 2 / 24

Motivation
Multidimensional time and space-time series
Motivation Seminário do Grupo de Probabilidades e Estatística 3 / 24

Motivation
Multidimensional time
 and space-time series

y
Number of observations (T)

 > Number of series (n)

y
Dimensionality reduction

Motivation

y


y
Principal Components Analysis (PCA)

Motivation

y


y
Principal Components Analysis (PCA)
T original variables linear M uncorrelated variables:

−−−−−−−−−→
(observation times) transformation Principal Components (PC)
M ≪ T retain most of the variation presented in the dataset [Jolliffe, 2002]

Classic Principal Component Analysis
n measurements on T VARIABLES : {Y1 , Y2 , . . . , YT }, Yj ∈ Rn , j = 1, . . . , T

~
w

n time series, each one with T OBSERVATIONS : {y1 , y2 , . . . , yn }, yi ∈ RT , i = 1, . . . , n
Principal Component Analysis for time series Seminário do Grupo de Probabilidades e Estatística 4 / 24
n measurements on T VARIABLES : {Y1 , Y2 , . . . , YT }, Yj ∈ Rn , j = 1, . . . , T

~
w

n time series, each one with T OBSERVATIONS : {y1 , y2 , . . . , yn }, yi ∈ RT , i = 1, . . . , n
1 n
xij = yij − Y j = yij − ∑ yij ,
n i=1
i = 1, . . . , n; j = 1, . . . , T
   
x1 x11 x12 ··· x1T
   
 x2  h i  x21 x22 ··· x2T 
X=  = X1 X2 ··· XT =
   
.. .. .. .. .. 

 . 


 . . . . 

xn xn1 xn2 ··· xnT

1
Sample variance-covariance matrix (T × T) of X : S = XT X
n
⇓ Diagonalizing S
λ1 ≥ λ2 ≥ · · · ≥ λT > 0 ||υ j || = 1, j = 1, . . . , T

1
n
⇓ Diagonalizing S
λ1 ≥ λ2 ≥ · · · ≥ λT > 0 ||υ j || = 1, j = 1, . . . , T
jth Principal Component

Zj = Xυ j = υj1 X1 + υj2 X2 + . . . + υjT XT , j = 1, . . . , T
Var(Zj ) = λj , j = 1, . . . , T
λj
Proportion of variance due to Zj : , j = 1, . . . , T
λ1 + · · · + λT

1
n
⇓ Diagonalizing S
λ1 ≥ λ2 ≥ · · · ≥ λT > 0 ||υ j || = 1, j = 1, . . . , T

Var(Zj ) = λj , j = 1, . . . , T
λj
λ1 + · · · + λT
Variables with different scales → initial data standardization
1
uij = (yij − Y j )
sjj

1
n
⇓ Diagonalizing S
λ1 ≥ λ2 ≥ · · · ≥ λT > 0 ||υ j || = 1, j = 1, . . . , T

Var(Zj ) = λj , j = 1, . . . , T
λj
λ1 + · · · + λT
Variables with different scales → initial data standardization

m
PCA uses the Pearson’s correlation matrix of original variables
1
uij = (yij − Y j )
sjj
Weighted Principal Component Analysis (WPCA) [Pinto da Costa, Silva and

Silva, 2009]
√
uij = ωj (yij − Y j ), for i = 1, . . . , n; j = 1, . . . , T
T
Weights: ωj , such that ωj ≥ 0, ∑ ωj = 1
j=1

Silva, 2009]
√
T
 j=1
y
Weighted matrix of covariances of data

Silva, 2009]
√
T
 j=1
y
Weighted matrix of covariances of data
WPCA is capable of higher levels of compression of the data

No stationarity assumptions for the time series are needed
Objective of WPCA descriptive, not inferential
Dynamic Principal Component Analysis (DPCA) [Brillinger, 2001]

PCA for stationary time series in the frequency domain
DPCA approximate a p vector-valued time series Xt by a set of k uncorrelated
time series Yt which is the best approximation of Xt in m.s.e. sense.
PCA at each frequency −→ uncorrelated principal components series
⇓
inferential procedures

⇓
∞ ∞
∑ |γ (k)| < ∞ ⇒ f (ν ) = ∑ γ (k)e2π iν k , −1/2 ≤ ν ≤ 1/2
k=−∞ k=−∞

⇓
∞ ∞
∑ |γ (k)| < ∞ ⇒ f (ν ) = ∑ γ (k)e2π iν k , −1/2 ≤ ν ≤ 1/2
k=−∞ k=−∞
T−1
1 T−k
Sample spectrum: f̂ (ν ) = ∑ γ̂ (k)e2π iν k , γ̂ (k) = ∑ (xt+k − x̄)(xt − x̄)
n t=1
k=−(T−1)
m
2
1 T
∑ xt e

−2π iνk t
Periodogram: I(νk ) = √ , νk = k/T, k = 0, . . . , T − 1

T t=1


DPCA [Shumway and Stoffer, 2000]
X = [xij ](i = 1, . . . , n, j = 1, . . . , T) : matrix with n (zero-mean) stationary time series
f̂(ν ) : sample (T × T) spectral density matrix of X → complex-valued, nonnnegative

definite and Hermitian matrix


(λ1 (ν ), e1 (ν )), . . . , (λT (ν ), eT (ν )) be (eigenvalue, eigenvector) pairs of f̂(ν ) :

λ1 (ν ) ≥ · · · ≥ λT (ν ) ≥ 0 ||ej (ν )|| = 1, j = 1, . . . , T



λ1 (ν ) ≥ · · · ≥ λT (ν ) ≥ 0 ||ej (ν )|| = 1, j = 1, . . . , T
jth principal component series at frequency ν :
ytj (ν ) = ej (ν )∗ X, j = 1, . . . , T
Var(ytj (ν )) = λj (ν )



λ1 (ν ) ≥ · · · ≥ λT (ν ) ≥ 0 ||ej (ν )|| = 1, j = 1, . . . , T
jth principal component series at frequency ν :
ytj (ν ) = ej (ν )∗ X, j = 1, . . . , T
Var(ytj (ν )) = λj (ν )
Problem:
Appropriate choice of ν
Singular Spectrum Analysis (SSA) [Golyandina, Nekrutkin and Zhigljavsky, 2001]
Carry out a PCA on a suitable chosen lagged version of the original time series
Decompose the original series in a small number of independent and
interpretable components that can be considered as trend and oscillatory
components and a structureless noise
Carry out a PCA on a suitable chosen lagged version of the original time series
Decompose the original series in a small number of independent and
interpretable components that can be considered as trend and oscillatory
components and a structureless noise
Basic SSA
Decomposition stage
◮ Embedding
◮ Singular Value Decomposition (SVD)
Reconstruction stage
◮ Grouping
◮ Diagonal averaging

Embedding
Time series: y = {y0 , y1 , . . . , yn−1 } L : window length (1 < L < n)

Embedding
Time series: y = {y0 , y1, . . . , yn−1 } L : window length (1 < L < n)
y Trajectory matrix (K × L, K = n − L + 1)

 
y0 y1 y2 ··· yL−1
 
 y1 y2 y3 ··· yL 
h i  
···
 
X= X1 X2 X3 ··· XL = y2 y3 y4 yL+1 
 
 .. .. .. .. .. 

 . . . . . 

yK yK+1 yK+2 ··· yn−1

Embedding

 
y0 y1 y2 ··· yL−1
 
 y1 y2 y3 ··· yL 
h i  
···
 
X= X1 X2 X3 ··· XL = y2 y3 y4 yL+1 
 
 .. .. .. .. .. 

 . . . . . 

yK yK+1 yK+2 ··· yn−1
SVD
S = XT X −→ eigenvalues: λ1 ≥ λ2 ≥ · · · ≥ λL and eigenvectors: U1 , U2 , . . . , UL

Embedding

 
y0 y1 y2 ··· yL−1
 
 y1 y2 y3 ··· yL 
h i  
···
 
X= X1 X2 X3 ··· XL = y2 y3 y4 yL+1 
 
 .. .. .. .. .. 

 . . . . . 

yK yK+1 yK+2 ··· yn−1
SVD
√
d = rank(X) = max{i : λi > 0} ≤ L Vi = X Ui / λi , i = 1, . . . , d

Embedding

 
y0 y1 y2 ··· yL−1
 
 y1 y2 y3 ··· yL 
h i  
···
 
X= X1 X2 X3 ··· XL = y2 y3 y4 yL+1 
 
 .. .. .. .. .. 

 . . . . . 

yK yK+1 yK+2 ··· yn−1
SVD
√
d = rank(X) = max{i : λi > 0} ≤ L Vi = X Ui / λi , i = 1, . . . , d
√
X = X1 + X2 + · · · + Xd , Xi = λi Vi Ui T , (λi , Ui , Vi ) : eigentriples

Grouping
M : number of PC → Partition of {1, . . . , d} into M disjoint subsets I1 , . . . , IM ,
where Ik = {ik1 , . . . , ikp }
Construct the corresponding resultant matrix XIk = Xik + · · · + Xikp
1

Grouping
where Ik = {ik1 , . . . , ikp }
1
X ≈ XI1 + · · · + XIM
∑i∈Ik λi
The contribution of the component XIk :
∑di=1 λi

Grouping
where Ik = {ik1 , . . . , ikp }
1
X ≈ XI1 + · · · + XIM
∑i∈Ik λi
The contribution of the component XIk :
∑di=1 λi
Depend on the objective of the study

Inspection of the singular values (λi ) and vectors (Ui , Vi )
To use supplementary information for the parameter choice [Hassani, 2007]:
◮ Periodicity on dataset, periodogram analysis, pairwise scatterplots of singular
vectors, . . .

Diagonal Averaging
h iL,K
(k) (k)
Transform XIk = xij (k) , k = 1, . . . , M, into a new series X̃Ik = {ỹ0 , . . . , ỹn−1 },
i,j=1
↓
(k)
ỹt is obtained by averaging xij (k) over all i, j : i + j = t + 2, t = 0, . . . n − 1

Diagonal Averaging
h iL,K
(k) (k)
i,j=1
↓
(k)
L∗ = min{L, K}; K ∗ = max{L, K}; xij∗ (k) = xij (k) if L < K; xij∗ (k) = xji (k) if L ≥ K
1

∑
t+1 ∗ (k)
 x
p=1 p,t−p+2
, if 0 ≤ t < L∗ − 1
+


 t 1
1 L∗ ∗

∗ ∑p=1 p,t−p+2
(k) (k)
ỹt = x , if L∗ − 1 ≤ t < K ∗
 L
 1 ∑n−K +1
∗

∗ (k)
, if K ∗ ≤ t < n

∗ +2 xp,t−p+2

n−t p=t−K

Diagonal Averaging
h iL,K
(k) (k)
i,j=1
↓
(k)
L∗ = min{L, K}; K ∗ = max{L, K}; xij∗ (k) = xij (k) if L < K; xij∗ (k) = xji (k) if L ≥ K
1

∑
t+1 ∗ (k)
 x
p=1 p,t−p+2
, if 0 ≤ t < L∗ − 1
+


 t 1
1 L∗ ∗

∗ ∑p=1 p,t−p+2
(k) (k)
ỹt = x , if L∗ − 1 ≤ t < K ∗
 L
 1 ∑n−K +1
∗

∗ (k)
, if K ∗ ≤ t < n

∗ +2 xp,t−p+2

n−t p=t−K
M
∑ ỹt
(k)
y = X̃I1 + · · · + X̃IM ⇐⇒ yt = , t = 0, . . . , n − 1
k=1
Multichannel SSA [Golyandina and Stepanov, 2005]

Extension of SSA to p time series of length n :
{y1 , . . . , yp } where yi = {yi,0 , yi,1 , . . . , yi,n−1 }, i = 1, . . . , p
Multichannel SSA [Golyandina and Stepanov, 2005]

Extension of SSA to p time series of length n :
{y1 , . . . , yp } where yi = {yi,0 , yi,1 , . . . , yi,n−1 }, i = 1, . . . , p
Apply SSA to a large trajectory matrix (K × Lp)

 
y1,0 ··· y1,L−1 y2,0 ··· y2,L−1 ··· yp,0 ··· yp,L−1
 
 y1,1 ··· y1,L y2,1 ··· y2,L ··· yp,1 ··· yp,L 
X= .
 
 .. .. .. .. .. .. .. .. .. .. 
 . . . . . . . . . 

y1,K ··· y1,n−1 y2,K ··· y2,n−1 ··· yp,K ··· yp,n−1
Illustration
Practical problems
Choice of the dimension L → L ≈ n/2 or depending of the periodicity of data
Selection of M and the way of grouping the indices
Illustration Seminário do Grupo de Probabilidades e Estatística 14 / 24

Illustration
Practical problems
Rodrigues and de Carvalho (2008): carefully choice of L and M → they can
compromise the analysis results

Illustration
Practical problems
Rodrigues and de Carvalho (2008): carefully choice of L and M → they can
compromise the analysis results
1200
Software: SSA - Matlab Tools for 1100
SSA (Eric Breitenberger) and ssa.m 1000
number of occupied rooms

(Francisco Alonso) 900
800
Dataset: Monthly average number of
700
occupied hotel rooms, from 1963 to 600
1976 (Source: Time Series Data Library, 500
http://robjhyndman.com/TSDL//) 400
Jan1963 Dec1976
month

Illustration
Example (L = 4, K = 8 − 4 + 1 = 5, M = 1)

Illustration
Example (L = 4, K = 8 − 4 + 1 = 5, M = 1)
n o
y= 501 488 504 578 545 632 728 725 ,

Illustration
Example (L = 4, K = 8 − 4 + 1 = 5, M = 1)
n o
y= 501 488 504 578 545 632 728 725 ,
 
501 488 504 578
 
 488 504 578 545 
 
X =  504 578 545 632  ,
 
 
 578 545 632 728 
 
545 632 728 725

Illustration
Example (L = 4, K = 8 − 4 + 1 = 5, M = 1)
n o
y= 501 488 504 578 545 632 728 725 ,
   
501 488 504 578 466.1 490.7 535.5 574.7
   
 488 504 578 545   475.8 501.0 546.7 586.7 
   
X =  504 578 545 632  , X1 = XI1 =  508.8 535.7 584.6 627.3  ,
   
   
 578 545 632 728   560.8 590.5 644.4 691.5 
   
545 632 728 725 594.2 625.6 682.8 732.7

Illustration
Example (L = 4, K = 8 − 4 + 1 = 5, M = 1)
n o
y= 501 488 504 578 545 632 728 725 ,
   
501 488 504 578 466.1 490.7 535.5 574.7
   
 488 504 578 545   475.8 501.0 546.7 586.7 
   
X =  504 578 545 632  , X1 = XI1 =  508.8 535.7 584.6 627.3  ,
   
   
 578 545 632 728   560.8 590.5 644.4 691.5 
   
545 632 728 725 594.2 625.6 682.8 732.7
The contribution of the component XI1 : 99.75%

n o
X̃I1 = 466.1 483.6 515.1 554.5 589.0 632.5 687.1 732.7

Illustration
800
y
700
y_reconstructed
600
500
400
1 2 3 4 5 6 7 8
50
residual=y−y_reconstructed
−50
1 2 3 4 5 6 7 8

Illustration
Principal Components of the monthly number of occupied rooms (L = 12)
1000 400 400 200
100
500 200 200
0
0 0 0
−100
−500 −200 −200
−200
−1000 −400 −400 −300

0 50 100 150 0 50 100 150 0 50 100 150 0 50 100 150
200 100 200 200
50
100 100 100
0
0 0 0
−50
−100 −100 −100
−100
−200 −150 −200 −200

0 50 100 150 0 50 100 150 0 50 100 150 0 50 100 150
100 150 100 100
50 100
50 50
0 50
0 0
−50 0
−50 −50
−100 −50
−150 −100 −100 −100

0 50 100 150 0 50 100 150 0 50 100 150 0 50 100 150

Illustration
Normalized singular values of the monthly number of occupied rooms

If n, L and K are sufficiently large, each harmonic produces two eigentriples with
close singular values
100
90
80
70
normalized λi
60
50
40
30
20
10
0
0 2 4 6 8 10 12
i

Illustration
Normalized singular values of the monthly number of occupied rooms

If n, L and K are sufficiently large, each harmonic produces two eigentriples with
close singular values
100 3
90
2.5
80
70
2
normalized λi
normalized λi
60
50 1.5
40
1
30
20
0.5
10
0 0
0 2 4 6 8 10 12 2 4 6 8 10 12
i i

Illustration
The contribution of the components XI1 : 97.96%, XI2_3 : 1.42%, XI4_5 : 0, 32%
1200
y
1000 y_rec_PC1
800
600
400
20 40 60 80 100 120 140 160
1500
y
1000 y_rec_PC_2_3
500
−500
20 40 60 80 100 120 140 160
1500
y
1000 y_rec_PC_4_5
500
−500
20 40 60 80 100 120 140 160

Illustration
The contribution of the component XI1_5 : 99.70%
1200
1100 y
y_rec_PC_1_to_5
1000
900
800
700
600
500
400
20 40 60 80 100 120 140 160
100
50
−50
residuals
−100
20 40 60 80 100 120 140 160

Illustration
Choice of L
Contribution of
L PC1 PC2 PC3 % var. PC1-PC3
12 97.96 0.71 0.71 99.38

Illustration
Choice of L
Contribution of
12 97.96 0.71 0.71 99.38
24 97.96 0.71 0.71 99.38
36 97.95 0.72 0.71 99.38

Illustration
Choice of L
Contribution of
12 97.96 0.71 0.71 99.38
24 97.96 0.71 0.71 99.38
36 97.95 0.72 0.71 99.38
80 97.92 0.74 0.72 99.38

Illustration
Choice of L
Contribution of
12 97.96 0.71 0.71 99.38
24 97.96 0.71 0.71 99.38
36 97.95 0.72 0.71 99.38
80 97.92 0.74 0.72 99.38
6 98.55 0.86 0.33 99.73

Illustration
Principal Components of the monthly number of occupied rooms (L = 6)
2400 400 300
300
2200
200
200
2000
100
100
1800 0
0
−100
1600
−200
−100
1400
−300
1200 −400 −200

0 50 100 150 0 50 100 150 0 50 100 150
150 150 100
100 100
50
50
50
0
0
0
−50
−50
−50
−100
−100
−150 −100
−200 −150 −150

0 50 100 150 0 50 100 150 0 50 100 150

Final remarks
PCA is a very popular and widely used tool for reducing the dimension of high
dimensional data
Time series can be considered as variables or as measurements → observation
times are the variables
Classical PCA does not take into account dependence between observations
Results of the different PCA-based techniques are not directly comparable
Practical problems of SSA: choice of L and M
Final remarks Seminário do Grupo de Probabilidades e Estatística 23 / 24

References
Brillinger , D. R., 2001. Time Series: Data Analysis and Theory. Classics in Applied Mathematics,
36, SIAM.
Golyandina, N., Nekrutkin, V. and Zhigljavsky, A., 2001. Analysis of Time Series Structure: SSA and
related techniques. Chapman & Hall/CRC Monographs on Statistics & Applied Probability.
Golyandina, N. and Stepanov, D., 2005. SSA-based approaches to analysis and forecast of
multidimensional time series. In Proceedings of the Fifth Workshop on Simulation, pp. 293Ű298.
Hassani, H., 2007. Singular Spectrum Analysis: Methodology and Comparison. Journal of Data
Science, Vol. 5, pp. 239Ű257.
Jolliffe, I. T., 2002. Principal Component Analysis. Springer, New York, 2nd ed..
Pinto da Costa, J., Silva, I. and Silva, M. E., 2009. Weighted principal components for time series.
Actas do XVII Congresso Anual da SPE (submitted).
Rodrigues, P. C. and De Carvalho, M., 2008. Monitoring Calibration of the Singular Spectrum
Analysis Method. In Proceedings of COMPSTAT’2008, Vol. 2, pp. 955-964, Physica-Verlag.
Shumway, R. and Stoffer, D., 2000. Time Series Analysis and Its Applications. Springer, New York.
References Seminário do Grupo de Probabilidades e Estatística 24 / 24

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Isabel Silva Principal Component Analysis for Time Series

Principal Component Analysis for Time

Seminário do Grupo de Probabilidades e Estatística

Seminário do Grupo de Probabilidades e Estatística 1 / 24

Seminário do Grupo de Probabilidades e Estatística 2 / 24

Multidimensional time and space-time series

Motivation Seminário do Grupo de Probabilidades e Estatística 3 / 24

Number of observations (T)

Motivation Seminário do Grupo de Probabilidades e Estatística 3 / 24

Number of observations (T)

Principal Components Analysis (PCA)

Motivation Seminário do Grupo de Probabilidades e Estatística 3 / 24

Number of observations (T)

Principal Components Analysis (PCA)

T original variables linear M uncorrelated variables:

M ≪ T retain most of the variation presented in the dataset [Jolliffe, 2002]

Motivation Seminário do Grupo de Probabilidades e Estatística 3 / 24

Classic Principal Component Analysis

n measurements on T VARIABLES : {Y1 , Y2 , . . . , YT }, Yj ∈ Rn , j = 1, . . . , T

n time series, each one with T OBSERVATIONS : {y1 , y2 , . . . , yn }, yi ∈ RT , i = 1, . . . , n

Classic Principal Component Analysis

n measurements on T VARIABLES : {Y1 , Y2 , . . . , YT }, Yj ∈ Rn , j = 1, . . . , T

n time series, each one with T OBSERVATIONS : {y1 , y2 , . . . , yn }, yi ∈ RT , i = 1, . . . , n

Classic Principal Component Analysis

Classic Principal Component Analysis

jth Principal Component

Classic Principal Component Analysis

jth Principal Component

Variables with different scales → initial data standardization

Classic Principal Component Analysis

jth Principal Component

Variables with different scales → initial data standardization

Weighted Principal Component Analysis (WPCA) [Pinto da Costa, Silva and

Weighted Principal Component Analysis (WPCA) [Pinto da Costa, Silva and

Weighted Principal Component Analysis (WPCA) [Pinto da Costa, Silva and

WPCA is capable of higher levels of compression of the data

Dynamic Principal Component Analysis (DPCA) [Brillinger, 2001]

Dynamic Principal Component Analysis (DPCA) [Brillinger, 2001]

Dynamic Principal Component Analysis (DPCA) [Brillinger, 2001]

Dynamic Principal Component Analysis (DPCA) [Brillinger, 2001]

f̂(ν ) : sample (T × T) spectral density matrix of X → complex-valued, nonnnegative

Dynamic Principal Component Analysis (DPCA) [Brillinger, 2001]

f̂(ν ) : sample (T × T) spectral density matrix of X → complex-valued, nonnnegative

(λ1 (ν ), e1 (ν )), . . . , (λT (ν ), eT (ν )) be (eigenvalue, eigenvector) pairs of f̂(ν ) :

Dynamic Principal Component Analysis (DPCA) [Brillinger, 2001]

f̂(ν ) : sample (T × T) spectral density matrix of X → complex-valued, nonnnegative

(λ1 (ν ), e1 (ν )), . . . , (λT (ν ), eT (ν )) be (eigenvalue, eigenvector) pairs of f̂(ν ) :

jth principal component series at frequency ν :

Dynamic Principal Component Analysis (DPCA) [Brillinger, 2001]

f̂(ν ) : sample (T × T) spectral density matrix of X → complex-valued, nonnnegative

(λ1 (ν ), e1 (ν )), . . . , (λT (ν ), eT (ν )) be (eigenvalue, eigenvector) pairs of f̂(ν ) :

jth principal component series at frequency ν :

Singular Spectrum Analysis (SSA) [Golyandina, Nekrutkin and Zhigljavsky, 2001]

Singular Spectrum Analysis (SSA) [Golyandina, Nekrutkin and Zhigljavsky, 2001]

Singular Spectrum Analysis (SSA) [Golyandina, Nekrutkin and Zhigljavsky, 2001]

Singular Spectrum Analysis (SSA) [Golyandina, Nekrutkin and Zhigljavsky, 2001]

Singular Spectrum Analysis (SSA) [Golyandina, Nekrutkin and Zhigljavsky, 2001]

Singular Spectrum Analysis (SSA) [Golyandina, Nekrutkin and Zhigljavsky, 2001]

Singular Spectrum Analysis (SSA) [Golyandina, Nekrutkin and Zhigljavsky, 2001]

Singular Spectrum Analysis (SSA) [Golyandina, Nekrutkin and Zhigljavsky, 2001]

Singular Spectrum Analysis (SSA) [Golyandina, Nekrutkin and Zhigljavsky, 2001]

Singular Spectrum Analysis (SSA) [Golyandina, Nekrutkin and Zhigljavsky, 2001]

Depend on the objective of the study