scholarly journals Weighted Linear Recurrent Forecasting in Singular Spectrum Analysis

2019 ◽  
Vol 19 (01) ◽  
pp. 2050010
Author(s):  
Mahdi Kalantari ◽  
Hossein Hassani ◽  
Emmanuel Sirimal Silva
Keyword(s):  
Time Series ◽  
Spectrum Analysis ◽  
Singular Spectrum Analysis ◽  
Real Data ◽  
Recurrent Relation ◽  
Singular Spectrum ◽  
Viable Solution ◽  
Simulated Time ◽  
Simulated Time Series

Singular Spectrum Analysis (SSA) is an increasingly popular time series filtering and forecasting technique. Owing to its widespread applications in a variety of fields, there is a growing interest towards improving its forecasting capabilities. As such, this paper takes into consideration the Recurrent forecasting approach in SSA (SSA-R) and presents a new mechanism for improving the accuracy of forecasts attainable via this method. The proposed Recurrent SSA-R approach is referred to as Weighted SSA-R (W:SSA-R), and we propose using a weighting algorithm for weigthing the coefficients of the Linear Recurrent Relation (LRR). The performance of forecasts from the W:SSA-R approach are compared with forecasts from the established SSA-R approach. We exploit real data and various simulated time series for the comparison, so as to provide the reader with more conclusive findings. Our results confirm that the W:SSA-R approach can provide comparatively more accurate forecasts and is indeed a viable solution for improving forecasts by SSA.

Singular Spectrum Analysis Based on L1-Norm

2016 ◽  
Vol 15 (01) ◽  
pp. 1650009 ◽  
Author(s):  
Mahdi Kalantari ◽  
Masoud Yarmohammadi ◽  
Hossein Hassani
Keyword(s):  
Time Series ◽  
Spectrum Analysis ◽  
Singular Spectrum Analysis ◽  
Frobenius Norm ◽  
L1 Norm ◽  
Empirical Results ◽  
Singular Spectrum ◽  
Simulated Time ◽  
Simulated Time Series ◽  
Basic Version

In recent years, the singular spectrum analysis (SSA) technique has been further developed and increasingly applied to solve many practical problems. The aim of this research is to introduce a new version of SSA based on [Formula: see text]-norm. The performance of the proposed approach is assessed by applying it to various real and simulated time series, especially with outliers. The results are compared with those obtained using the basic version of SSA which is based on the Frobenius norm or [Formula: see text]-norm. Different criteria are also examined including reconstruction errors and forecasting performances. The theoretical and empirical results confirm that SSA based on [Formula: see text]-norm can provide better reconstruction and forecasts in comparison to basic SSA when faced with time series which are polluted by outliers.

scholarly journals Automatic Grouping in Singular Spectrum Analysis

Forecasting ◽  
2019 ◽  
Vol 1 (1) ◽  
pp. 189-204 ◽  
Author(s):  
Mahdi Kalantari ◽  
Hossein Hassani
Keyword(s):  
Time Series ◽  
Spectrum Analysis ◽  
Singular Spectrum Analysis ◽  
Filtering Method ◽  
Singular Spectrum ◽  
Validation Criterion ◽  
Matrix Norms ◽  
Automatic Grouping ◽  
Simulated Time ◽  
Simulated Time Series

Singular spectrum analysis (SSA) is a non-parametric forecasting and filtering method that has many applications in a variety of fields such as signal processing, economics and time series analysis. One of the four steps of the SSA, which is called the grouping step, plays a pivotal role in the SSA because reconstruction and forecasting of results are directly affected by the outputs of this step. Usually, the grouping step of SSA is time consuming as the interpretable components are manually selected. An alternative more optimized approach is to apply automatic grouping methods. In this paper, a new dissimilarity measure between two components of a time series that is based on various matrix norms is first proposed. Then, using the new dissimilarity matrices, the capabilities of different hierarchical clustering linkages are compared to identify appropriate groups in the SSA grouping step. The performance of the proposed approach is assessed using the corrected Rand index as validation criterion and utilizing various real-world and simulated time series.

scholarly journals Time Series Imputation via L1 Norm-Based Singular Spectrum Analysis

2018 ◽  
Vol 17 (02) ◽  
pp. 1850017 ◽  
Author(s):  
Mahdi Kalantari ◽  
Masoud Yarmohammadi ◽  
Hossein Hassani ◽  
Emmanuel Sirimal Silva
Keyword(s):  
Time Series ◽  
Spectrum Analysis ◽  
Missing Values ◽  
Time Series Data ◽  
Singular Spectrum Analysis ◽  
Series Data ◽  
L1 Norm ◽  
Nonparametric Approach ◽  
Singular Spectrum ◽  
Simulated Time

Missing values in time series data is a well-known and important problem which many researchers have studied extensively in various fields. In this paper, a new nonparametric approach for missing value imputation in time series is proposed. The main novelty of this research is applying the [Formula: see text] norm-based version of Singular Spectrum Analysis (SSA), namely [Formula: see text]-SSA which is robust against outliers. The performance of the new imputation method has been compared with many other established methods. The comparison is done by applying them to various real and simulated time series. The obtained results confirm that the SSA-based methods, especially [Formula: see text]-SSA can provide better imputation in comparison to other methods.

scholarly journals Forecasting the COVID-19 Pandemic in Saudi Arabia Using a Modified Singular Spectrum Analysis Approach: Model Development and Data Analysis

JMIRx Med ◽  
10.2196/21044 ◽  
2021 ◽  
Vol 2 (1) ◽  
pp. e21044 ◽  
Author(s):  
Nader Alharbi
Keyword(s):  
Time Series ◽  
Saudi Arabia ◽  
Spectrum Analysis ◽  
Singular Spectrum Analysis ◽  
Model Development ◽  
Real Data ◽  
Primary Objective ◽  
Infected People ◽  
Singular Spectrum ◽  
Global Pandemic

Background Infectious disease is one of the main issues that threatens human health worldwide. The 2019 outbreak of the new coronavirus SARS-CoV-2, which causes the disease COVID-19, has become a serious global pandemic. Many attempts have been made to forecast the spread of the disease using various methods, including time series models. Among the attempts to model the pandemic, to the best of our knowledge, no studies have used the singular spectrum analysis (SSA) technique to forecast confirmed cases. Objective The primary objective of this paper is to construct a reliable, robust, and interpretable model for describing, decomposing, and forecasting the number of confirmed cases of COVID-19 and predicting the peak of the pandemic in Saudi Arabia. Methods A modified singular spectrum analysis (SSA) approach was applied for the analysis of the COVID-19 pandemic in Saudi Arabia. We proposed this approach and developed it in our previous studies regarding the separability and grouping steps in SSA, which play important roles in reconstruction and forecasting. The modified SSA approach mainly enables us to identify the number of interpretable components required for separability, signal extraction, and noise reduction. The approach was examined using different levels of simulated and real data with different structures and signal-to-noise ratios. In this study, we examined the capability of the approach to analyze COVID-19 data. We then used vector SSA to predict new data points and the peak of the pandemic in Saudi Arabia. Results In the first stage, the confirmed daily cases on the first 42 days (March 02 to April 12, 2020) were used and analyzed to identify the value of the number of required eigenvalues (r) for separability between noise and signal. After obtaining the value of r, which was 2, and extracting the signals, vector SSA was used to predict and determine the pandemic peak. In the second stage, we updated the data and included 81 daily case values. We used the same window length and number of eigenvalues for reconstruction and forecasting of the points 90 days ahead. The results of both forecasting scenarios indicated that the peak would occur around the end of May or June 2020 and that the crisis would end between the end of June and the middle of August 2020, with a total number of infected people of approximately 330,000. Conclusions Our results confirm the impressive performance of modified SSA in analyzing COVID-19 data and selecting the value of r for identifying the signal subspace from a noisy time series and then making a reliable prediction of daily confirmed cases using the vector SSA method.

Non-Negative Time Series Reconstruction via Singular Spectrum Analysis: A Case Study of Precipitation Dynamics in Nigeria

2020 ◽  
Vol 19 (04) ◽  
pp. 2050045
Author(s):  
Olushina Olawale Awe ◽  
Rahim Mahmoudvand ◽  
Paulo Canas Rodrigues
Keyword(s):  
Time Series ◽  
Spectrum Analysis ◽  
Time Series Data ◽  
Singular Spectrum Analysis ◽  
Real Data ◽  
Series Data ◽  
Monthly Precipitation ◽  
Singular Spectrum ◽  
Value Decomposition ◽  
Negative Time

A proper understanding and analysis of the processes involved in seasonal precipitation variability and dynamics is essential to provide reliable information about climate change and how it can affect matters of critical importance such as water availability and agricultural productivity in urban cities. Precipitation data, as many other time series data present only non-negative observations, are is not constrained by standard time series methods. In this paper, we propose a modified singular spectrum analysis (SSA) algorithm for decomposition and reconstruction of time series with non-negative values. Our approach uses a non-negative matrix factorization (NMF) instead of the singular value decomposition in the SSA algorithm. The new algorithm is compared with the classic SSA algorithm by considering a simulation study and observed data of monthly precipitation of four major cities in Nigeria (Lagos, Kano, Ibadan and Kaduna). Although in terms of mean stared errors both methods give similar results, the percentage of negative fitted values for reconstructions with the classical SSA algorithm reached more than [Formula: see text] in our real data application, which is inappropriate for non-negative time series. The proposed adaptation of the SSA algorithm for non-negative time series data provides an important development with applications in many fields where time series data has non-negative constraints.

Application of singular spectrum analysis in reconstruction of the annual signal from GRACE

2020 ◽  
Vol 14 (3) ◽  
pp. 295-302
Author(s):  
Chuandong Zhu ◽  
Wei Zhan ◽  
Jinzhao Liu ◽  
Ming Chen
Keyword(s):  
Time Series ◽  
Spectrum Analysis ◽  
Singular Spectrum Analysis ◽  
Mixture Effect ◽  
Singular Spectrum ◽  
Grace Data ◽  
Terrestrial Water ◽  
Annual Signal ◽  
Long Term Variations

AbstractThe mixture effect of the long-term variations is a main challenge in single channel singular spectrum analysis (SSA) for the reconstruction of the annual signal from GRACE data. In this paper, a nonlinear long-term variations deduction method is used to improve the accuracy of annual signal reconstructed from GRACE data using SSA. Our method can identify and eliminate the nonlinear long-term variations of the equivalent water height time series recovered from GRACE. Therefore the mixture effect of the long-term variations can be avoided in the annual modes of SSA. For the global terrestrial water recovered from GRACE, the peak to peak value of the annual signal is between 1.4 cm and 126.9 cm, with an average of 11.7 cm. After the long-term and the annual term have been deducted, the standard deviation of residual time series is between 0.9 cm and 9.9 cm, with an average of 2.1 cm. Compared with the traditional least squares fitting method, our method can reflect the dynamic change of the annual signal in global terrestrial water, more accurately with an uncertainty of between 0.3 cm and 2.9 cm.

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