This article is cited in 9 papers

The problem of processing time series: Extending possibilities of the local approximation method using singular spectrum analysis

I. A. Istomin, O. L. Kotlyarov, A. Yu. Loskutov

M. V. Lomonosov Moscow State University

Abstract: We present algorithms for singular spectrum analysis and local approximation methods used to extrapolate time series. We analyze the advantages and disadvantages of these methods and consider the peculiarities of applying them to various systems. Based on this analysis, we propose a generalization of the local approximation method that makes it suitable for forecasting very noisy time series. We present the results of numerical simulations illustrating the possibilities of the proposed method.

Keywords: time series, forecast, chaos, local approximation.

Received: 11.11.2003
Revised: 03.06.2004

DOI: 10.4213/tmf1771

 English version: Theoretical and Mathematical Physics, 2005, 142:1, 128–137

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