Analysis of Time Series Structure: SSA and Related Techniques (Hardcover)

by Nina Golyandina (Author), Vladimir Nekrutkin (Author), Anatoly A Zhigljavsky (Author) "This chapter deals with the basic scheme of SSA and several modifications of it..." (more)
Key Phrases: recurrent continuation, stable separability, recurrent forecasting, Monte Carlo, Using Basic (more...)

Editorial Reviews

Review
The present monograph is dedicated to a recently proposed technique, singular spectrum analysis (SSA), that can be considered an extension of Pearson's problem to the situation in which the points in the space correspond to realizations of a time series…it is an important contribution to a modern area that is becoming increasingly needed in problems of electrical engineering, economics, meteorology, oceanography, and other fields. The authors should be commended for bringing this method to the attention of the statistical community.
-Andrew L. Rukhin, University of Maryland at Baltimore County for Technometrics, August 2002

The present monograph is dedicated to a recently proposed technique, singular spectrum analysis (SSA), that can be considered an extension of Pearsons problem to the situation in which the points in the space correspond to realizations of a time series…it is an important contribution to a modern area that is becoming increasingly needed in problems of electrical engineering, economics, meteorology, oceanography, and other fields. The authors should be commended for bringing this method to the attention of the statistical community.
-Andrew L. Rukhin, University of Maryland at Baltimore County for Technometrics, August 2002

This book summarizes the results published on SSA in the last 15 years. It is a good source of SSA methodology for scientists who wish to complement classical procedures for time series analysis by SSA tools.
- Mathematical Reviews, Issue 2002

[This] is the first book on SSA aimed at statisticians. The authors provide clear and concise descriptions of the basic methodology of this new technique, and this is a welcome reference text for time series practitioners. … This book provides the background to successfully understand and intelligently apply SSA. I strongly recommend it to anyone interested in time series analysis.
- Journal of the American Statistical Association

[This] is the first book on SSA aimed at statisticians. The authors provide clear and concise descriptions of the basic methodology of this new technique, and this is a welcome reference text for time series practitioners. … This book provides the background to successfully understand and intelligently apply SSA. I strongly recommend it to anyone interested in time series analysis.
- Journal of the American Statistical Association

…the formal mathematical theory, which underpins the method, is laid out with admirable clarity. The authors have performed a service to the statistical community by writing this book. It is likely to become the standard reference to SSA; helpful to the applied statistician who wishes to analyse a times series and also to the theoretician who may wish to develop this interesting approach to time series analysis further.
Short Book Reviews of the ISI

…the formal mathematical theory, which underpins the method, is laid out with admirable clarity. The authors have performed a service to the statistical community by writing this book. It is likely to become the standard reference to SSA; helpful to the applied statistician who wishes to analyse a times series and also to the theoretician who may wish to develop this interesting approach to time series analysis further.
Short Book Reviews of the ISI

Product Description
Over the last 15 years, singular spectrum analysis (SSA) has proven very successful. It has already become a standard tool in climatic and meteorological time series analysis and well known in nonlinear physics and signal processing. However, despite the promise it holds for time series applications in other disciplines, SSA is not widely known among statisticians and econometrists, and although the basic SSA algorithm looks simple, understanding what it does and where its pitfalls lay is by no means simple.Analysis of Time Series Structure: SSA and Related Techniques provides a careful, lucid description of its general theory and methodology. Part I introduces the basic concepts, and sets forth the main findings and results, then presents a detailed treatment of the methodology. After introducing the basic SSA algorithm, the authors explore forecasting and apply SSA ideas to change-point detection algorithms. Part II is devoted to the theory of SSA. Here the authors formulate and prove the statements of Part I. They address the singular value decomposition (SVD) of real matrices, time series of finite rank, and SVD of trajectory matrices.Based on the authors' original work and filled with applications illustrated with real data sets, this book offers an outstanding opportunity to obtain a working knowledge of why, when, and how SSA works. It builds a strong foundation for successfully using the technique in applications ranging from mathematics and nonlinear physics to economics, biology, oceanology, social science, engineering, financial econometrics, and market research.

Product Details

• Hardcover: 320 pages
• Publisher: Chapman & Hall/CRC; 1 edition (January 23, 2001)
• Language: English
• ISBN-10: 1584881941
• ISBN-13: 978-1584881940
• Product Dimensions: 9 x 6.4 x 0.9 inches
• Shipping Weight: 1.3 pounds (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars See all reviews (1 customer review)
• Amazon.com Sales Rank: #628,345 in Books (See Bestsellers in Books)

Customer Reviews

Most Helpful Customer Reviews

3 of 3 people found the following review helpful:

5.0 out of 5 stars Serious about SSA? You have to have this book, January 9, 2007

By	Mike B (Palo Alto, Ca) - See all my reviews

I really like this book. I'm interested in applying SSA in some problems i'm working and these authors write in a way that can be applied immediately. The authors have done a huge amount of orignal work in this area and it's reported in a clear, logical, straight-forward manner. the book contains proofs of the major results so the reader can get a complete picture of the strengths and limitations of the tools the authors are presenting. I highly recommend the book.