Window Length Selection and Signal-Noise Separation and Reconstruction in Singular Spectrum Analysis
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References listed on IDEAS
- Forni, Mario & Lippi, Marco, 2001.
"The Generalized Dynamic Factor Model: Representation Theory,"
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- Forni, Mario & Lippi, Marco, 2000. "The Generalized Dynamic Factor Model: Representation Theory," CEPR Discussion Papers 2509, C.E.P.R. Discussion Papers.
- Md Atikur Rahman Khan & D.S. Poskitt, 2010. "Description Length Based Signal Detection in singular Spectrum Analysis," Monash Econometrics and Business Statistics Working Papers 13/10, Monash University, Department of Econometrics and Business Statistics.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Franz Ruch & Dirk Bester, 2013.
"Towards a Measure of Core Inflation using Singular Spectrum Analysis,"
South African Journal of Economics,
Economic Society of South Africa, vol. 81(3), pages 307-329, September.
- Franz Ruch & Dirk Bester, 2011. "Towards a Measure of Core Inflation using Singular Spectrum Analysis," Working Papers 256, Economic Research Southern Africa.
- Hossein Hassani & Zara Ghodsi & Rangan Gupta & Mawuli Segnon, 2017.
"Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis,"
Springer;Society for Computational Economics, vol. 49(1), pages 83-97, January.
- Hossein Hassani & Zara Ghodsi & Rangan Gupta & Mawuli K. Segnon, 2014. "Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis," Working Papers 201482, University of Pretoria, Department of Economics.
More about this item
KeywordsDimension; Embedding; Mean squared error; Reconstruction; Signal-noise separation; Window length.;
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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