Window Length Selection and Signal-Noise Separation and Reconstruction in Singular Spectrum Analysis
In Singular Spectrum Analysis (SSA) window length is a critical tuning parameter that must be assigned by the practitioner. This paper provides a theoretical analysis of signal-noise separation and reconstruction in SSA that can serve as a guide to optimal window choice. We establish numerical bounds on the mean squared reconstruction error and present their almost sure limits under very general regularity conditions on the underlying data generating mechanism. We also provide asymptotic bounds for the mean squared separation error. Evidence obtained using simulation experiments indicates that the theoretical properties are reflected in observed behaviour, even in relatively small samples, and the results indicate how an optimal choice for the window length can be made.
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Forni, Mario & Lippi, Marco, 2001.
"The Generalized Dynamic Factor Model: Representation Theory,"
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