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Basic Singular Spectrum Analysis and forecasting with R

Nina Golyandina and Anton Korobeynikov

Computational Statistics & Data Analysis, 2014, vol. 71, issue C, 934-954

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.

Keywords: Singular Spectrum Analysis; Time series; Time series analysis; Forecasting; Frequency estimation; R package (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:71:y:2014:i:c:p:934-954

DOI: 10.1016/j.csda.2013.04.009

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