| Full text | |
| Author(s): |
Leles, Michel C. R.
[1]
;
Moreira, Mariana G.
[1]
;
Vale-Cardoso, Adriano S.
[1]
;
Nascimento Junior, Cairo L.
[2]
;
Sbruzzi, Elton F.
[3]
;
Guimaraes, Homero N.
[4]
Total Authors: 6
|
| Affiliation: | [1] Univ Fed Sao Joao del Rei, Dept Technol, Ouro Branco, MG - Brazil
[2] Inst Tecnol Aeronaut, Elect Engn Div, Sao Jose Dos Campos, SP - Brazil
[3] Inst Tecnol Aeronaut, Div Comp Sci, Sao Jose Dos Campos, SP - Brazil
[4] Univ Fed Minas Gerais, Dept Elect Engn, Belo Horizonte, MG - Brazil
Total Affiliations: 4
|
| Document type: | Journal article |
| Source: | STATISTICS AND ITS INTERFACE; v. 12, n. 4, p. 527-536, 2019. |
| Web of Science Citations: | 0 |
| Abstract | |
A comparison between two approaches of Singular Spectrum Analysis (SSA) methodology is presented: the Basic and the Toeplitz SSA. These approaches differ in assumptions about some SSA properties. Toeplitz SSA assumes time-series stationarity, which means that the process needs to be mean-reverting. However, such assumption is not a necessary condition for the Basic SSA. Therefore, the applicability of the Toeplitz SSA to non-stationary signals is still an under discussion subject. In this paper both approaches are applied to this kind of signal. Similarities and differences between these techniques are addressed. The frequency domain interpretation of eigenvectors as well as forecasting performance are presented for both methodologies. Several computer simulations involving both synthetic and actual data time-series, using the same parameters, were executed in order to compare the studied SSA approaches. The obtained results suggest the Toeplitz SSA should not be used for non-stationary time-series before removing their trend component. (AU) | |
| FAPESP's process: | 16/04992-6 - Employing computational intelligence techniques and Big Data analytics in a multi-agent system experiment of finance |
| Grantee: | Cairo Lúcio Nascimento Júnior |
| Support Opportunities: | Research Grants - eScience and Data Science Program - Regular Program Grants |
| FAPESP's process: | 17/20248-8 - Employing computational intelligence techniques and Big Data analytics in a multi-agent system experiment of finance |
| Grantee: | Michel Carlo Rodrigues Leles |
| Support Opportunities: | Scholarships in Brazil - Post-Doctoral |