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Basic Singular Spectrum Analysis and forecasting with R

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  • Golyandina, Nina
  • Korobeynikov, Anton

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.

Suggested Citation

  • Golyandina, Nina & Korobeynikov, Anton, 2014. "Basic Singular Spectrum Analysis and forecasting with R," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 934-954.
    • Handle: RePEc:eee:csdana:v:71:y:2014:i:c:p:934-954
    DOI: 10.1016/j.csda.2013.04.009
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    References listed on IDEAS

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    1. Golyandina, Nina & Pepelyshev, Andrey & Steland, Ansgar, 2012. "New approaches to nonparametric density estimation and selection of smoothing parameters," Computational Statistics & Data Analysis, Elsevier, vol. 56(7), pages 2206-2218.
    2. Hassani, Hossein & Heravi, Saeed & Zhigljavsky, Anatoly, 2009. "Forecasting European industrial production with singular spectrum analysis," International Journal of Forecasting, Elsevier, vol. 25(1), pages 103-118.
    3. Zeileis, Achim & Grothendieck, Gabor, 2005. "zoo: S3 Infrastructure for Regular and Irregular Time Series," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 14(i06).
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    1. Huffaker, R. & Canavari, M. & Muñoz-Carpena, R., 2018. "Distinguishing between endogenous and exogenous price volatility in food security assessment: An empirical nonlinear dynamics approach," Agricultural Systems, Elsevier, vol. 160(C), pages 98-109.
    2. Yuyang Gao & Chao Qu & Kequan Zhang, 2016. "A Hybrid Method Based on Singular Spectrum Analysis, Firefly Algorithm, and BP Neural Network for Short-Term Wind Speed Forecasting," Energies, MDPI, vol. 9(10), pages 1-28, September.
    3. Qing Pei & David D Zhang & Guodong Li & Harry F Lee, 2015. "Climate Change and the Macroeconomic Structure in Pre-Industrial Europe: New Evidence from Wavelet Analysis," PLOS ONE, Public Library of Science, vol. 10(6), pages 1-17, June.
    4. Mahdi Kalantari & Hossein Hassani, 2019. "Automatic Grouping in Singular Spectrum Analysis," Forecasting, MDPI, vol. 1(1), pages 1-16, October.
    5. Yuriy Zhukovskiy & Aleksandra Buldysko & Ilia Revin, 2023. "Induction Motor Bearing Fault Diagnosis Based on Singular Value Decomposition of the Stator Current," Energies, MDPI, vol. 16(8), pages 1-23, April.
    6. Aman Kalteh, 2016. "Improving Forecasting Accuracy of Streamflow Time Series Using Least Squares Support Vector Machine Coupled with Data-Preprocessing Techniques," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(2), pages 747-766, January.
    7. Winita Sulandari & Yudho Yudhanto & Paulo Canas Rodrigues, 2022. "The Use of Singular Spectrum Analysis and K-Means Clustering-Based Bootstrap to Improve Multistep Ahead Load Forecasting," Energies, MDPI, vol. 15(16), pages 1-22, August.
    8. Pohl Philipp, 2017. "Valuation of a Company using Time Series Analysis," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 12(1), pages 1-39, February.
    9. Aman Mohammad Kalteh, 2016. "Improving Forecasting Accuracy of Streamflow Time Series Using Least Squares Support Vector Machine Coupled with Data-Preprocessing Techniques," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(2), pages 747-766, January.
    10. Hossein Hassani & Mahdi Kalantari & Zara Ghodsi, 2019. "Evaluating the Performance of Multiple Imputation Methods for Handling Missing Values in Time Series Data: A Study Focused on East Africa, Soil-Carbonate-Stable Isotope Data," Stats, MDPI, vol. 2(4), pages 1-11, December.
    11. Golyandina, Nina & Korobeynikov, Anton & Shlemov, Alex & Usevich, Konstantin, 2015. "Multivariate and 2D Extensions of Singular Spectrum Analysis with the Rssa Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 67(i02).
    12. Kalantari, Mahdi, 2021. "Forecasting COVID-19 pandemic using optimal singular spectrum analysis," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
    13. Lukas Borke & Wolfgang K. Härdle, 2016. "Q3-D3-Lsa," SFB 649 Discussion Papers SFB649DP2016-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    14. de Carvalho, Miguel & Martos, Gabriel, 2020. "Brexit: Tracking and disentangling the sentiment towards leaving the EU," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1128-1137.
    15. Telesca, Luciano & Laib, Mohamed & Guignard, Fabian & Mauree, Dasaraden & Kanevski, Mikhail, 2019. "Linearity versus non-linearity in high frequency multilevel wind time series measured in urban areas," Chaos, Solitons & Fractals, Elsevier, vol. 120(C), pages 234-244.

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