Autori
Launonen, Ilkka
Holmstrom, Lasse

Titolo
Multivariate posterior singular spectrum analysis
Periodico
Statistical methods & applications : Journal of the Italian Statistical Society
Anno: 2017 - Volume: 26 - Fascicolo: 3 - Pagina iniziale: 361 - Pagina finale: 382

A generalized, multivariate version of the Posterior Singular Spectrum Analysis (PSSA) method is described for the identification of credible features in multivariate time series. We combine Bayesian posterior modeling with multivariate SSA (MSSA) and infer the MSSA signal components with a credibility analysis of the posterior sample. The performance of multivariate PSSA (MPSSA) is compared to the single-variate PSSA with an artificial example and the potential of MPSSA is demonstrated with real data using NAO and SOI climate index series



SICI: 1618-2510(2017)26:3<361:MPSSA>2.0.ZU;2-N

Esportazione dati in Refworks (solo per utenti abilitati)

Biblioteche ACNP che possiedono il periodico