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Rssa (version 1.1)

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. General description of the methods with many examples can be found in the book Golyandina (2018, ). See 'citation("Rssa")' for details.

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Version

Install

install.packages('Rssa')

Monthly Downloads

838

Version

1.1

License

GPL (>= 2)

Issues

2

Pull Requests

1

Stars

58

Forks

27

Maintainer

Anton Korobeynikov

Last Published

September 5th, 2024

Functions in Rssa (1.1)

eossa

ESPRIT-based O-SSA nested decomposition
clplot

Ratio of complete lag vectors in dependence on window length
grouping.auto.wcor

Group Elementary Series Using W-correlation Matrix
hbhmat

Hankel with Hankel block matrices operations.
parestimate

Estimate periods from (set of) eigenvectors
iossa.result

Summary of Iterative O-SSA results
hmat

Hankel matrices operations.
grouping.auto

Group Elementary Series
owcor

Calculate generalized (oblique) W-correlation matrix
hmatr

Calculate the heterogeneity matrix.
lrr

Calculate the min-norm Linear Recurrence Relation
igapfill

Perform SSA gapfilling via iterative reconstruction
iossa

Iterative O-SSA nested decomposition
precache

Calculates and caches elementary components inside SSA object
residuals

Obtain the residuals from SSA reconstruction
plot.reconstruction

Plot the results of SSA reconstruction
ssa

Create a new SSA object
ssa-input

Input Data Formats Used by SSA Routines
rforecast

Perform recurrent SSA forecasting of the series
plot

Plot SSA object
reconstruct

Perform a series reconstruction
ssa.capabilities

SSA methods and capabilities check
ssa-object

Properties of SSA object
summarize.gaps

Summarize Gaps in a Series
vforecast

Perform vector SSA forecasting of the series
wnorm

Calculate Weighted Norm of series
wcor

Calculate the W-correlation matrix
tmat

Toeplitz matrices operations.
cadzow

Cadzow Iterations
AustralianWine

Australian Wine Sales
bforecast

Perform bootstrap SSA forecasting of the series
grouping.auto.pgram

Group elementary series using periodogram
frobenius.cor

Calculate Frobenius correlations of the component matrices
cleanup

Cleanup of all cached data from SSA objects
gapfill

Perform SSA gapfilling via forecast
decompose

Perform SSA Decomposition
clone

Cloning of SSA objects
fossa

Nested Filter-adjusted O-SSA decomposition
calc.v

Calculate Factor Vector(s)
USUnemployment

U.S. unemployment figures
MotorVehicle

Total U.S. Domestic and Foreign Car Sales
Rssa-package

A collection of methods for singular spectrum analysis
Mars

Webcam image of Mars
Barbara

Classical `Barbara' image (color, wide)
forecast

Perform SSA forecasting of series