Singular spectrum analysis

Singular spectrum analysis

Usage

ssa(y, L, groups)

Arguments

y

A time series or a vector.

L

The window length.

groups

The number of eigentriples for reconstruction.

Value

A list with the approximation and the residual.

Examples

s<- ssa(AirPassengers[1:20], L=10, groups=5)
s$approximation
#>  [1] 110.9834 122.9300 129.7799 124.4868 125.0599 136.6269 145.7690 146.6196
#>  [9] 137.1660 119.3853 106.9202 110.2286 119.7662 129.4375 136.1734 133.3477
#> [17] 130.3966 146.7139 168.4876 172.1838
s$residual
#>  [1]  1.016600 -4.930034  2.220079  4.513240 -4.059871 -1.626929  2.230957
#>  [8]  1.380418 -1.166037 -0.385348 -2.920188  7.771408 -4.766184 -3.437535
#> [15]  4.826560  1.652261 -5.396551  2.286126  1.512377 -2.183819
AirPassengers[1:20] - (s$approximation + s$residual)
#>  [1] 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0