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portada Singular Spectrum Analysis: Using r (Palgrave Advanced Texts in Econometrics)
Type
Physical Book
Publisher
Author
Year
2018
Language
English
Pages
162
Format
Hardcover
ISBN13
9781137409508
Edition No.
1
Categories

Singular Spectrum Analysis: Using r (Palgrave Advanced Texts in Econometrics)

Hossein Hassani; Rahim Mahmoudvand (Author) · Palgrave Pivot · Hardcover

Singular Spectrum Analysis: Using r (Palgrave Advanced Texts in Econometrics) - Hossein Hassani; Rahim Mahmoudvand

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Synopsis "Singular Spectrum Analysis: Using r (Palgrave Advanced Texts in Econometrics) "

This book provides a broad introduction to computational aspects of Singular Spectrum Analysis (SSA) which is a non-parametric technique and requires no prior assumptions such as stationarity, normality or linearity of the series. This book is unique as it not only details the theoretical aspects underlying SSA, but also provides a comprehensive guide enabling the user to apply the theory in practice using the R software. Further, it provides the user with step- by- step coding and guidance for the practical application of the SSA technique to analyze their time series databases using R. The first two chapters present basic notions of univariate and multivariate SSA and their implementations in R environment. The next chapters discuss the applications of SSA to change point detection, missing-data imputation, smoothing and filtering. This book is appropriate for researchers, upper level students (masters level and beyond) and practitioners wishing to revive their knowledge of times series analysis or to quickly learn about the main mechanisms of SSA.                                        

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