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Rssa (version 0.13)

A Collection of Methods for Singular Spectrum Analysis

Description

Methods and tools for Singular Spectrum Analysis including decomposition, forecasting and gap-filling for univariate and multivariate time series.

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Version

Install

install.packages('Rssa')

Monthly Downloads

712

Version

0.13

License

GPL (>= 2)

Issues

2

Pull Requests

2

Stars

57

Forks

30

Maintainer

Anton Korobeynikov

Last Published

March 3rd, 2015

Functions in Rssa (0.13)

Mars

Webcam image of Mars
rforecast

Perform recurrent SSA forecasting of the series
AustralianWine

Australian Wine Sales
vforecast

Perform vector SSA forecasting of the series
Rssa-package

A collection of methods for singular spectrum analysis
ssa-object

Properties of SSA object
calc.v

Calculate Factor Vector(s)
wnorm

Calculate Weighted Norm of series
owcor

Calculate generalized (oblique) W-correlation matrix
grouping.auto

Group Elementary Series
clone

Cloning of SSA objects
gapfill

Perform SSA gapfilling via forecast
clplot

Ratio of complete lag vectors given window length
MotorVehicle

Total U.S. Domestic and Foreign Car Sales
lrr

Calculate the Linear Recurrence Relation
hbhmat

Hankel with Hankel block matrices operations.
frobenius.cor

Calculate Frobenius correlations of the component matrices
reconstruct

Perform a series reconstruction
tmat

Toeplitz matrices operations.
summarize.gaps

Summarize Gaps in a Series
plot.reconstruction

Plot the results of SSA reconstruction
grouping.auto.wcor

Group Elementary Series Using W-correlation Matrix
hmat

Hankel matrices operations.
ssa

Create a new SSA object
igapfill

Perform SSA gapfilling via iterative reconstruction
precache

Calculates and caches elementary components inside SSA object
forecast

Perform SSA forecasting of series
ssa-input

Input Data Formats Used by SSA Routines
iossa.result

Summary of Iterative O-SSA results
iossa

Iterative O-SSA nested decomposition
parestimate

Estimate periods from (set of) eigenvectors
cadzow

Cadzow Iterations
decompose

Perform SSA Decomposition
grouping.auto.pgram

Group elementary series using periodogram
hmatr

Calculate the heterogeneity matrix.
plot

Plot SSA object
wcor

Calculate the W-correlation matrix
fossa

Nested Filter-adjusted O-SSA decomposition
residuals

Obtain the residuals from SSA reconstruction
bforecast

Perform bootstrap SSA forecasting of the series
USUnemployment

U.S. unemployment figures
cleanup

Cleanup of all cached data from SSA objects