On signal and extraneous roots in Singular Spectrum Analysis
In the present paper we study properties of roots of characteristic polynomials for the linear recurrent formulae (LRF) that govern time series. We also investigate how the values of these roots affect Singular Spectrum Analysis implications, in what concerns separation of components, SSA forecastin...
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| Format: | Article |
| Language: | English |
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2010.
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| Online Access: | Get fulltext |