Multivariate posterior singular spectrum analysis

Launonen, Ilkka; Holmström, Lasse (2016-10-27)
 
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https://doi.org/10.1007/s10260-016-0372-9

Launonen, Ilkka
Holmström, Lasse
Springer Nature
27.10.2016

Launonen, I. & Holmström, L. Stat Methods Appl (2017) 26: 361. https://doi.org/10.1007/s10260-016-0372-9

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© Springer-Verlag Berlin Heidelberg 2016. This is a post-peer-review, pre-copyedit version of an article published in Stat Methods Appl. The final authenticated version is available online at: https://doi.org/10.1007/s10260-016-0372-9.
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doi:https://doi.org/10.1007/s10260-016-0372-9
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https://urn.fi/URN:NBN:fi-fe2019041011866
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Abstract

A generalized, multivariate version of the Posterior Singular Spectrum Analysis (PSSA) method is described for the identification of credible features in multivariate time series. We combine Bayesian posterior modeling with multivariate SSA (MSSA) and infer the MSSA signal components with a credibility analysis of the posterior sample. The performance of multivariate PSSA (MPSSA) is compared to the single-variate PSSA with an artificial example and the potential of MPSSA is demonstrated with real data using NAO and SOI climate index series.

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