Beruflich Dokumente
Kultur Dokumente
Original
1
2
3
4
5
6
7
8
Mean
Data
3.00
2.00
1.00
2.00
3.00
2.00
1.00
2.00
Example as per
3.0
2.0
1.0
2.0
3.0
2.0
1.0
2.0
3.0
2.0
8
5
4
3
2
C Mat =
S Mat =
U Mat =
X - Hat =
Forecast
X1,X2,X3
2.0
3.0
2.0
1.0
2.0
3.50
Reconstructed
Forecast
3.00
16.00000
18.00000
16.00000
14.00000
16.00000
14.00000
16.00000
18.00000
16.00000
14.00000
16.00000
14.00000
16.00000
18.00000
16.00000
18.00000
16.00000
14.00000
16.00000
18.00000
S
80.42993
0
0
0
0
U
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
0
5.570065
0
0
0
0
0
4
0
0
0
0
0
8.17804E-15
0
0
0
0
0
6.30512E-16
0.469053
-0.128442
-0.725937
-0.128442
0.469053
0.000000
0.707107
0.000000
-0.707107
0.000000
-0.754356
0.156349
-0.156349
0.156349
0.598007
-0.048742
0.511145
-0.511145
0.511145
-0.462403
U1
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
0.469053
-0.128442
-0.725937
-0.128442
0.469053
0.000000
0.707107
0.000000
-0.707107
0.000000
-0.754356
0.156349
-0.156349
0.156349
0.598007
1.82
1.77
1.73
1.77
1.82
1.77
1.73
1.77
2.04
1.99
1.94
1.99
2.04
1.99
1.94
1.99
X - hat1 = U1 * U1' * X
2.26
2.04
2.20
1.99
2.14
1.94
2.20
1.99
2.26
2.04
2.20
1.99
2.14
1.94
2.20
1.99
Reconstructed
Check
X
TRUE
3.00
TRUE
2.00
TRUE
1.00
TRUE
2.00
TRUE
3.00
TRUE
2.00
TRUE
1.00
TRUE
2.00
3.00
2.00
1.00
1.0
2.0
3.0
2.0
1.0
2.50
C = X * X'
18.00000
16.00000
14.00000
16.00000
18.00000
2.00
N=
L=
K=
M=
No.Coeffs
http://strijov.com/sources/demo_ssa_forecast.php#2
=
=
=
=
=
=
=
=
=
=
=
=
X1
2.26
2.12
1.98
1.99
1.99
1.99
1.99
1.99
1.90
1.85
1.99
+
+
+
+
+
+
+
+
+
+
+
+
2.00
1.50
1.00
0.50
0.00
1
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
U2
0.469053
-0.128442
-0.725937
-0.128442
0.469053
X - hat2 = U2 * U2' * X
0.74
-0.04
-0.20
0.01
-1.14
0.06
-0.20
0.01
0.74
-0.04
-0.20
0.01
-1.14
0.06
-0.20
0.01
X2
0.74
-0.12
-0.65
0.01
0.51
0.01
-0.49
0.01
0.43
0.15
0.01
0.000000
0.707107
0.000000
-0.707107
0.000000
-0.754356
0.156349
-0.156349
0.156349
0.598007
-0.82
0.23
1.27
0.23
-0.82
0.23
1.27
0.23
-0.04
0.01
0.06
0.01
-0.04
0.01
0.06
0.01
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
0.469053
-0.128442
-0.725937
-0.128442
0.469053
X - hat3 = U3 * U3' * X
0.00
0.00
0.00
-1.00
0.00
0.00
0.00
1.00
0.00
0.00
0.00
-1.00
0.00
0.00
0.00
1.00
+
+
+
+
+
+
+
+
+
+
+
+
X3
0.00
0.00
-0.33
0.00
0.50
0.00
-0.50
0.00
0.67
0.00
-1.00
U3
0.000000
0.707107
0.000000
-0.707107
0.000000
-0.754356
0.156349
-0.156349
0.156349
0.598007
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.00
0.00
-1.00
0.00
1.00
0.00
-1.00
+
+
+
+
+
+
+
+
+
+
+
+
10
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
11
0.469053
-0.128442
-0.725937
-0.128442
0.469053
X - hat4 = U4 * U4' * X
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
X4
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000000
0.707107
0.000000
-0.707107
0.000000
U4
-0.754356
0.156349
-0.156349
0.156349
0.598007
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Example as per
http://strijov.com/sources/demo_ssa_forecast.php#2
F
1
2
3
4
5
6
7
8
Mean
N=
L=
K=
M=
No of Coefficients
3
2
1
2
3
2
1
2
1.00
0.00
-1.00
0.00
1.00
0.00
-1.00
0.00
2.00
8
5
4
7
6
Data points
Window length
No of lagged vectors
forecast length
Alpha Coeffs
X
3.0
2.0
1.0
2.0
3.0
2.0
1.0
2.0
3.0
2.0
1.0
2.0
3.0
2.0
1.0
2.0
3.0
2.0
1.0
2.0
C = X * X'
18.00000
16.00000
14.00000
16.00000
18.00000
16.00000
18.00000
16.00000
14.00000
16.00000
14.00000
16.00000
18.00000
16.00000
14.00000
16.00000
14.00000
16.00000
18.00000
16.00000
18.00000
16.00000
14.00000
16.00000
18.00000
S
80.42993
0
0 5.570065
0
0
0
0
0
0
0
0
4
0
0
0
0
0
8.18E-15
0
0
0
0
0
6.31E-16
8.968274 2.360099
9.04E-08
2.51E-08
0.000000
0.707107
0.000000
-0.707107
0.000000
-0.754356
0.156349
-0.156349
0.156349
0.598007
-0.048742
0.511145
-0.511145
0.511145
-0.462403
U
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
0.469053
-0.128442
-0.725937
-0.128442
0.469053
U4
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
X - hat = U4 * U4' * X
3.0
2.0
2.0
1.0
1.0
2.0
2.0
3.0
3.0
2.0
2.0
1.0
1.0
2.0
2.0
3.0
X=
3.00
2.00
1.00
1.0
2.0
3.0
2.0
1.0
2.0
3.0
2.0
2.0
3.0
2.0
1.0
2.0
3.0
2.0
1.0
2.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
3.000000
2.000000
1.000000
2.000000
3.000000
2.000000
1.000000
2.000000
3.000000
2.000000
1.000000
2.000000
3.000000
2.000000
1.000000
2.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
http://strijov.com/sources/demo_ssa_forecast.php#2
3.5
3
2.5
2
1.5
1
0.5
Reconstructed
Forecast
0
1
10 11 12 13 14 15
< Using just first 4 eigenvectors 1 at a time - Note could also be groups so long as con
U1
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
0.469053
-0.128442
-0.725937
-0.128442
0.469053
0.000000
0.707107
0.000000
-0.707107
0.000000
-0.754356
0.156349
-0.156349
0.156349
0.598007
X - hat1 = U1 * U1' * X
2.26
2.04
2.20
1.99
2.14
1.94
2.20
1.99
2.26
2.04
Note Forecast Step uses entire matrix >
2.20
1.99
2.14
1.94
2.20
1.99
1.82
1.77
1.73
1.77
1.82
1.77
1.73
1.77
2.04
1.99
1.94
1.99
2.04
1.99
1.94
1.99
Check
TRUE
TRUE
TRUE
X
3.00
2.00
1.00
=
=
=
=
X1
2.26
2.12
1.98
+
+
+
+
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
X - hat2 = U2 * U2' * X
0.74
-0.20
-1.14
-0.20
0.74
-0.20
-1.14
-0.20
X2
0.74
-0.12
-0.65
TRUE
TRUE
TRUE
TRUE
TRUE
2.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
=
=
=
=
=
=
=
=
1.99
1.99
1.99
1.99
1.99
1.90
1.85
1.99
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
3.00
2.00
1.00
2.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
=
=
=
=
=
=
=
=
2.26
2.12
1.98
1.99
1.99
1.92
1.91
2.04
2.26
2.12
1.98
1.99
1.99
1.92
1.91
2.04
2.26
2.12
1.98
1.99
1.99
1.92
1.91
2.04
0.74
-0.12
-0.65
0.01
0.51
0.08
-0.41
-0.04
0.00
0.00
-0.33
0.00
0.50
0.00
-0.50
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2.26
2.20
2.14
2.20
2.26
2.20
2.14
2.20
2.04
1.99
1.94
1.99
2.04
1.99
1.94
1.99
1.82
1.77
1.73
1.77
1.82
1.77
1.73
1.77
2.04
1.99
1.94
1.99
2.04
1.99
1.94
1.99
3.00
2.00
1.00
2.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
2.26
2.12
1.98
1.99
1.99
1.99
1.99
1.99
1.90
1.85
1.99
+
+
+
+
+
+
+
+
0.01
0.51
0.01
-0.49
0.01
0.43
0.15
0.01
+
+
+
+
+
+
+
+
0.74
-0.12
-0.65
0.01
0.51
0.08
-0.41
-0.04
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.74
-0.20
-1.14
-0.20
0.74
-0.20
-1.14
-0.20
0.74
-0.12
-0.65
0.01
0.51
0.01
-0.49
0.01
0.43
0.15
0.01
t a time - Note could also be groups so long as contiguous and in descending eigenvalue order
U2
U3
0.469053 0.000000 -0.754356
-0.456684 0.469053 0.000000
-0.128442 0.707107 0.156349
-0.444734 -0.128442 0.707107
-0.725937 0.000000 -0.156349
-0.432784 -0.725937 0.000000
-0.128442 -0.707107 0.156349
-0.444734 -0.128442 -0.707107
0.469053 0.000000 0.598007
-0.456684 0.469053 0.000000
X - hat2 = U2 * U2' * X
-0.04
0.01
0.06
0.01
-0.04
0.01
0.06
0.01
-0.82
0.23
1.27
0.23
-0.82
0.23
1.27
0.23
-0.04
0.01
0.06
0.01
-0.04
0.01
0.06
0.01
+
+
+
+
X - hat3 = U3 * U3' * X
0.00
0.00
0.00
-1.00
0.00
0.00
0.00
1.00
0.00
0.00
0.00
-1.00
0.00
0.00
0.00
1.00
X3
0.00
0.00
-0.33
-0.754356
0.156349
-0.156349
0.156349
0.598007
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.00
0.00
-1.00
0.00
1.00
0.00
-1.00
+
+
+
+
-0.04
0.01
0.06
0.01
-0.04
0.01
0.06
0.01
-0.82
0.23
1.27
0.23
-0.82
0.23
1.27
0.23
+
+
+
+
+
+
+
+
0.00
0.50
0.00
-0.50
0.00
0.67
0.00
-1.00
+
+
+
+
+
+
+
+
+
+
+
+
+
+
+
+
0.00
0.00
-0.33
0.00
0.50
0.00
-0.50
0.00
+
+
+
+
+
+
+
+
-0.04
0.01
0.06
0.01
-0.04
0.01
0.06
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
-0.33
0.00
0.50
0.00
-0.50
0.00
0.67
0.00
-1.00
0.00
-1.00
0.00
1.00
0.00
-1.00
0.00
1.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.00
0.00
-1.00
0.00
1.00
0.00
-1.00
0.469053
-0.128442
-0.725937
-0.128442
0.469053
0.000000
0.707107
0.000000
-0.707107
0.000000
U4
-0.754356
0.156349
-0.156349
0.156349
0.598007
X - hat4 = U4 * U4' * X
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
X4
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Source:
LAPACK
NIST
MATRIX.XLA
RNC
ALGLIB
Theodore Alexandrov
Vadim Strijov
Michael Ghil
Nina Golyandina
Nina Golyandina
Rick Gibbs
http://www.bluebit.gr/matrix-calculator/calculate.aspx
http://metamerist.com/excanvas/example23a.htm
http://digilander.libero.it/foxes/matrix.zip
http://www.rnfc.org/rhapsody/math/
http://www.alglib.net/matrixops/general/svd.php
Andreas Steiner
Anton Korobeynikov
http://www.math.uni-bremen.de/~theodore/ssawiki/pmwiki.php?n=Main.Software
http://strijov.com/sources/demo_ssa_forecast.php#2
http://www.atmos.ucla.edu/tcd/ssa/
http://www.gistatgroup.com/cat/programs.html
http://www.gistatgroup.com/cat/examples/ex_1_8.html
http://technical-analysis-addins.com/singular-spectrum-analysis.php
http://www.ipredict.it/Methods/PrincipalComponentAnalysis.aspx
http://www.apalibnet.com/XLL.aspx
http://cran.r-project.org/web/packages/Rssa/index.html
Atikur Khan
Nina Golyandina
Hossein Hassani
Edward Lorenz
Anatoly Zhigljavsky
Lisa Sella
Theodore Alexandrov
Golyandina, Nekrutin and Zhigljavsky
Elsner and Tsonis
Theodore Alexandrov
Valentina Moskvina
Andrey Pepelyshev
Andrey Pepelyshev
Alexandrov and Golyandina
Hassani, Soofi and Zhigljavsky
http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2011/wp23-11.pdf
http://www.citebase.org/fulltext?format=application%2Fpdf&identifier=oai%3AarXiv.org
http://mpra.ub.uni-muenchen.de/4991/2/MPRA_paper_4991.pdf
http://www.o3d.org/abracco/Atlantic/Lorenz1956.pdf
http://www.cf.ac.uk/maths/subsites/zhigljavskyaa/publics.html
http://www.de.unito.it/web/member/segreteria/WP/2008/9_WP_Sella.pdf
http://www.census.gov/srd/papers/pdf/rrs2008-03.pdf
http://www.amazon.com/dp/1584881941
http://www.amazon.com/Singular-Spectrum-Analysis-Tool-Time/dp/1441932666/ref=sr
http://www.pdmi.ras.ru/~theo/autossa/english/publications.htm
http://www.cardiff.ac.uk/maths/subsites/stats/changepoint/
http://ssa.cf.ac.uk/pepelyshev/pepelyshev_ssa_forecast.pdf
http://ssa.cf.ac.uk/pepelyshev/pepelyshev_choice_LRF.pdf
http://www.pdmi.ras.ru/~theo/autossa/files/AutoSSA-slides-EN.pdf
http://slb.cf.ac.uk/maths/subsites/zhigljavskyaa/pdfs/SSA/exchange%20rates.pdf
php?n=Main.Software
1/wp23-11.pdf
&identifier=oai%3AarXiv.org%3A1005.4374
WP_Sella.pdf
Time/dp/1441932666/ref=sr_1_1?s=books&ie=UTF8&qid=1348533996&sr=1-1&keywords=singular+spectrum+analysis
xchange%20rates.pdf
tory matrix X is the restricted (Hankel) circulant of which we require the SVD, X = U * S * V'.
usually has more columns than rows, we cannot form the SVD directly.
e an SVD routine to hand, we can simply compute the SVD of X' as X' = V * S * U'
have a simple symmetric eigensolver. In which case, we form the (minimal) covariance matrix C
hich is SQUARE and SYMMETRIC. The important point is SQUARE. We can now write C = E *
and in fact, due to symmetry, C = E * L * E'.