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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Time Series Decomposition Using Singular Spectrum Analysis

Deng, Cheng 01 May 2014 (has links)
Singular Spectrum Analysis (SSA) is a method for decomposing and forecasting time series that recently has had major developments but it is not yet routinely included in introductory time series courses. An international conference on the topic was held in Beijing in 2012. The basic SSA method decomposes a time series into trend, seasonal component and noise. However there are other more advanced extensions and applications of the method such as change-point detection or the treatment of multivariate time series. The purpose of this work is to understand the basic SSA method through its application to the monthly average sea temperature in a point of the coast of South America, near where “EI Ni˜no” phenomenon originates, and to artificial time series simulated using harmonic functions. The output of the basic SSA method is then compared with that of other decomposition methods such as classic seasonal decomposition, X-11 decomposition using moving averages and seasonal decomposition by Loess (STL) that are included in some time series courses.

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