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Basic singular spectrum analysis and forecasting with R. (English) Zbl 1471.62077

Summary: Singular Spectrum Analysis (SSA) is a powerful tool of analysis and forecasting of time series. The main features of the {Rssa} package, which efficiently implements the SSA algorithms and methodology in , are described. Analysis, forecasting and parameter estimation are demonstrated using case studies. These studies are supplemented with accompanying code fragments.

MSC:

62-08 Computational methods for problems pertaining to statistics
62M15 Inference from stochastic processes and spectral analysis
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M20 Inference from stochastic processes and prediction
62-04 Software, source code, etc. for problems pertaining to statistics
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References:

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