Generalized Singular Spectrum Time Series Analysis
Abstract
This paper is a study of continuous time Singular Spectrum Analysis (SSA). We show that the principal eigenfunctions are solutions to a set of linear ODEs with constant coefficients. We also introduce a natural generalization of SSA, constructed using local (Lie) transformation groups. The time translations used in standard SSA is a special case. The eigenfunctions then satisfy a simple type of linear ODE with time dependent coefficient, determined by the infinitesimal generator of the transformation group. Finally, more general one parameter mappings are considered.
 Publication:

arXiv eprints
 Pub Date:
 May 2002
 DOI:
 10.48550/arXiv.physics/0205094
 arXiv:
 arXiv:physics/0205094
 Bibcode:
 2002physics...5094N
 Keywords:

 Data Analysis;
 Statistics and Probability;
 Computational Physics
 EPrint:
 6 pages