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Title: Time Series components separation based on Singular Spectral Analysis visualization: an HJ-biplot method application
Author: Silva, Alberto Oliveira da
Freitas, Adelaide
Keywords: Singular Spectrum Analysis
NIPALS algorithm
Issue Date: Jun-2020
Publisher: International Academic Press
Abstract: The extraction of essential features of any real-valued time series is crucial for exploring, modeling and producing, for example, forecasts. Taking advantage of the representation of a time series data by its trajectory matrix of Hankel constructed using Singular Spectrum Analysis, as well as of its decomposition through Principal Component Analysis via Partial Least Squares, we implement a graphical display employing the biplot methodology. A diversity of types of biplots can be constructed depending on the two matrices considered in the factorization of the trajectory matrix. In this work, we discuss the called HJ-biplot which yields a simultaneous representation of both rows and columns of the matrix with maximum quality. Interpretation of this type of biplot on Hankel related trajectory matrices is discussed from a real-world data set.
Peer review: yes
DOI: 10.19139/soic-2310-5070-897
ISSN: 2311-004X
Publisher Version:
Appears in Collections:CIDMA - Artigos
DMat - Artigos
PSG - Artigos

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