dorsal/arxiv
View SchemaGeneralized Singular Spectrum Time Series Analysis
| Authors | Martin Nilsson |
|---|---|
| Categories | |
| ArXiv ID | physics/0205094 |
| URL | https://arxiv.org/abs/physics/0205094 |
Abstract
This paper is a study of continuous time Singular Spectrum Analysis (SSA). We show that the principal eigenfunctions are solutions to a set of linear ODEs with constant coefficients. We also introduce a natural generalization of SSA, constructed using local (Lie-) transformation groups. The time translations used in standard SSA is a special case. The eigenfunctions then satisfy a simple type of linear ODE with time dependent coefficient, determined by the infinitesimal generator of the transformation group. Finally, more general one parameter mappings are considered.
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"date_created": "2026-03-02T18:00:39.660000Z",
"date_modified": "2026-03-02T18:00:39.660000Z",
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"abstract": "This paper is a study of continuous time Singular Spectrum Analysis (SSA). We\nshow that the principal eigenfunctions are solutions to a set of linear ODEs\nwith constant coefficients. We also introduce a natural generalization of SSA,\nconstructed using local (Lie-) transformation groups. The time translations\nused in standard SSA is a special case. The eigenfunctions then satisfy a\nsimple type of linear ODE with time dependent coefficient, determined by the\ninfinitesimal generator of the transformation group. Finally, more general one\nparameter mappings are considered.",
"arxiv_id": "physics/0205094",
"authors": [
"Martin Nilsson"
],
"categories": [
"physics.data-an",
"physics.comp-ph"
],
"title": "Generalized Singular Spectrum Time Series Analysis",
"url": "https://arxiv.org/abs/physics/0205094"
},
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