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Heuristic Analysis of Time Series Internal Structure

Author

Listed:
  • Cihan Mert

    () (International Black Sea University)

  • Alexander Milnikov

    () (International Black Sea University)

Abstract

A method of analysis of Time Series Internal Structures based on Singular Spectrum Analysis is discussed. It has been shown that in the case when the Time Series contains deterministic additive components rank of the trajectory matrices equal to number of parameters of the components. Also it was proved that both eigen and factor vectors repeat shapes of the additive components and both eigen values and eigen vectors can be divided into additive groups. Some useful patterns of deterministic components were identified, which permit to provide graphical analysis of times series Internal Structures.

Suggested Citation

  • Cihan Mert & Alexander Milnikov, 2010. "Heuristic Analysis of Time Series Internal Structure," IBSU Scientific Journal, International Black Sea University, vol. 4(2), pages 149-155.
  • Handle: RePEc:ibl:journl:v:4:y:2010:i:2:p:149-155
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    File URL: https://journal.ibsu.edu.ge/index.php/ibsusj/article/download/155/160
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    Keywords

    Singular spectrum Analysis; Time series decomposition; Singular vectors; singular values; deterministic additive components; patterns;

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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