Semi-nonparametric singular spectrum analysis with projection

Abstract: Singular spectrum analysis (SSA) is considered for decomposition of time series into identifiable components. The Basic SSA method is nonparametric and constructs an adaptive expansion based on singular value decomposition. The investigated modification is able to take into consideration a structure given in advance and therefore can be called semi-nonparametric. The approach called SSA with projection includes preliminary projections of rows and columns of the series trajectory matrix to given subspaces. One application of SSA with projection is the extraction of polynomial trends, e.g., a linear trend. It is shown that SSA with projection can extract polynomial trends much better than Basic SSA, especially for linear trends. Numerical examples including comparison with the least-square approach to polynomial regression are presented.