Singular Spectrum Analysis for real-time Financial Cycles measurement

Author(s):  
Maximilien Coussin
2019 ◽  
Vol 46 (3) ◽  
pp. 1851-1860 ◽  
Author(s):  
H. Reed Ogrosky ◽  
Samuel N. Stechmann ◽  
Nan Chen ◽  
Andrew J. Majda

2011 ◽  
Vol 38 (10) ◽  
pp. 2183-2211 ◽  
Author(s):  
Kerry Patterson ◽  
Hossein Hassani ◽  
Saeed Heravi ◽  
Anatoly Zhigljavsky

2018 ◽  
Author(s):  
Michael Lang

BACKGROUND Heart rate variability (HRV) is derived from the series of R-R intervals extracted from an electrocardiographic (ECG) measurement. Ideally all components of the R-R series are the result of sinoatrial node depolarization. However, the actual R-R series are contaminated by outliers due to heart rhythm disturbances such as ectopic beats, which ought to be detected and corrected appropriately before HRV analysis. OBJECTIVE We have introduced a novel, lightweight, and near real-time method to detect and correct anomalies in the R-R series based on the singular spectrum analysis (SSA). This study aimed to assess the performance of the proposed method in terms of (1) detection performance (sensitivity, specificity, and accuracy); (2) root mean square error (RMSE) between the actual N-N series and the approximated outlier-cleaned R-R series; and (3) how it benchmarks against a competitor in terms of the relative RMSE. METHODS A lightweight SSA-based change-point detection procedure, improved through the use of a cumulative sum control chart with adaptive thresholds to reduce detection delays, monitored the series of R-R intervals in real time. Upon detection of an anomaly, the corrupted segment was substituted with the respective outlier-cleaned approximation obtained using recurrent SSA forecasting. Next, N-N intervals from a 5-minute ECG segment were extracted from each of the 18 records in the MIT-BIH Normal Sinus Rhythm Database. Then, for each such series, a number (randomly drawn integer between 1 and 6) of simulated ectopic beats were inserted at random positions within the series and results were averaged over 1000 Monte Carlo runs. Accordingly, 18,000 R-R records corresponding to 5-minute ECG segments were used to assess the detection performance whereas another 180,000 (10,000 for each record) were used to assess the error introduced in the correction step. Overall 198,000 R-R series were used in this study. RESULTS The proposed SSA-based algorithm reliably detected outliers in the R-R series and achieved an overall sensitivity of 96.6%, specificity of 98.4% and accuracy of 98.4%. Furthermore, it compared favorably in terms of discrepancies of the cleaned R-R series compared with the actual N-N series, outperforming an established correction method on average by almost 30%. CONCLUSIONS The proposed algorithm, which leverages the power and versatility of the SSA to both automatically detect and correct artifacts in the R-R series, provides an effective and efficient complementary method and a potential alternative to the current manual-editing gold standard. Other important characteristics of the proposed method include the ability to operate in near real-time, the almost entirely model-free nature of the framework which does not require historical training data, and its overall low computational complexity.


Author(s):  
Michael Lang

While the importance of continuous monitoring of electrocardiographic (ECG) or photoplethysmographic (PPG) signals to detect cardiac anomalies is generally accepted in preventative medicine, there remain major barriers to its actual widespread adoption. Most notably, current approaches tend to lack real-time capability, exhibit high computational cost, and be based on restrictive modeling assumptions or require large amounts of training data. We propose a lightweight and model-free approach for the online detection of cardiac anomalies such as ectopic beats in ECG or PPG signals based on the change detection capabilities of Singular Spectrum Analysis (SSA) and nonparametric rank-based cumulative sum (CUSUM) control charts. The procedure is able to quickly detect anomalies without requiring the identification of fiducial points such as R-peaks and is computationally significantly less demanding than previously proposed SSA-based approaches. Therefore, the proposed procedure is equally well suited for standalone use and as an add-on to complement existing (e.g. heart rate (HR) estimation) procedures.


Equilibrium ◽  
2019 ◽  
Vol 14 (1) ◽  
pp. 7-29 ◽  
Author(s):  
Marinko Skare ◽  
Małgorzata Porada-Rochoń

Research background: Financial cycles are behind many deep financial crises and it closely connects them with the business cycles, showing long memory properties and effects. Being closely connected with the business cycles, we must first explore the true nature of the financial cycles to understand the nature of the business cycles. Financial cycles are real, they have long memory properties and long-lasting effects on the economy. Purpose of the article: This study investigates the use of (SSA) in tracking and monitoring financial cycles focusing on ten (10) transitional economies 2005–2018. Methods: Singular spectrum analysis isolate significant oscillatory patterns (cycles) on housing markets with an average 4-years length. We isolate credit cycles just for Bulgaria, implying long memory properties of the cycles since this study investigated medium term (2–5 years) oscillations. Findings & Value added: The results prove the importance and advantages of using (SSA) in the study of financial cycles attempting to reveal the true nature of financial cycles as the principal component behind business cycles. Financial cycles show longer oscillations in the credit and property price series, which can explain 37.7%–49.9% of the variance of the total financial cycle fluctuations. Study results are of practical importance, particularly to policy-makers and practitioners in former transitional economies being vulnerable to adverse shocks on the financial markets. The results should assist policy-makers and financial practitioners in building and maintaining a sound financial policy needed to avoid future financial “bubbles”.


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