Stationary Subspace Analysis
Description
Stationary subspace analysis (SSA) is a blind source separation (BSS) variant where stationary components are separated from non-stationary components. Several SSA methods for multivariate time series are provided here (Flumian et al. (2024) ; Hara et al. (2010) ) along with functions to simulate time series with time-varying variance and autocovariance (Patilea and Raissi(2014) ).