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.
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- 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.
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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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