Palgrave Advanced Texts in Econometrics

Singular Spectrum Analysis

Using R

Authors: Hassani, Hossein, Mahmoudvand, Rahim

  • - Fills an existing gap in the market 
  • - Details the theoretical aspects underlying SSA
  • - Uniquely allows the user to apply the theory in practice using R software (which is freely available)
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Buy this book

eBook $49.99
price for USA (gross)
  • ISBN 978-1-137-40951-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $67.50
price for USA
  • ISBN 978-1-137-40950-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

This book provides a broad introduction to computational aspects of Singular Spectrum Analysis (SSA) which is a non-parametric technique and requires no prior assumptions such as stationarity, normality or linearity of the series. This book is unique as it not only details the theoretical aspects underlying SSA, but also provides a comprehensive guide enabling the user to apply the theory in practice using the R software. Further, it provides the user with step- by- step coding and guidance for the practical application of the SSA technique to analyze their time series databases using R. The first two chapters present basic notions of univariate and multivariate SSA and their implementations in R environment. The next chapters discuss the applications of SSA to change point detection, missing-data imputation, smoothing and filtering. This book is appropriate for researchers, upper level students (masters level and beyond) and practitioners wishing to revive their knowledge of times series analysis or to quickly learn about the main mechanisms of SSA. 

About the authors

Dr. Hossein Hassani is Associate Professor at the University of Tehran, Iran, specialising in Singular Spectrum Analysis (SSA) and its applications, particularly in analyzing and forecasting complex time series with various structures. He is a published author/co-author with over 100 journal articles and 6 book titles including Singular Spectrum Analysis of Biomedical Signals. 
Dr. Rahim Mahmoudvand is Assistant Professor at Bu-Ali Sina University, Iran. He serves as a member of the editorial board for international journals and is currently a council member of the International Society for Business and Industrial Statistics. His current research interests include singular spectrum analysis, actuarial sciences and applied statistics.  

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Table of contents (4 chapters)

  • Univariate Singular Spectrum Analysis

    Hassani, Hossein (et al.)

    Pages 1-48

  • Multivariate Singular Spectrum Analysis

    Hassani, Hossein (et al.)

    Pages 49-86

  • Applications of Singular Spectrum Analysis

    Hassani, Hossein (et al.)

    Pages 87-101

  • More on Filtering and Forecasting by SSA

    Hassani, Hossein (et al.)

    Pages 103-115

Buy this book

eBook $49.99
price for USA (gross)
  • ISBN 978-1-137-40951-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $67.50
price for USA
  • ISBN 978-1-137-40950-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Singular Spectrum Analysis
Book Subtitle
Using R
Authors
Series Title
Palgrave Advanced Texts in Econometrics
Copyright
2018
Publisher
Palgrave Macmillan UK
Copyright Holder
The Editor(s) (if applicable) and The Author(s)
eBook ISBN
978-1-137-40951-5
DOI
10.1057/978-1-137-40951-5
Hardcover ISBN
978-1-137-40950-8
Edition Number
1
Number of Pages
XIII, 149
Number of Illustrations and Tables
40 b/w illustrations
Topics