Remark on the precision of recurrent forecast in singular spectrum analysis

Abstract

Within the family of methods named as Singular Spectrum Analysis there exist several variants of forecasting algorithms for signals corrupted by additive noise. In this paper the way to estimate the asymptotical accuracy of the recurrent variant of such a forecast for long series is shown and illustrated. It occurs that almost all elements of this construction are already studied and published, though some of them are hard to be implemented in concrete situations. Here all these elements are brought together, expanded and discussed. Several theoretical and computational examples are presented.

Keywords:

signal processing, singular spectrum analysis, recurrent forecasting, asymptotical analysis