Singular Spectrum Analysis Demo With VBA

Singular Spectrum Analysis ( SSA ) Worked Example by Peter Urbani
Original
1
2
3
4
5
6
7
8
Mean
Data
3.00
2.00
1.00
2.00
3.00
2.00
1.00
2.00
Example as per
3.0
2.0
1.0
2.0
3.0
2.0
1.0
2.0
3.0
2.0
8
5
4
3
2
C Mat =
S Mat =
U Mat =
X - Hat =
Forecast
X1,X2,X3
2.0
3.0
2.0
1.0
2.0
3.50
Reconstructed
Forecast
3.00
16.00000
18.00000
16.00000
14.00000
16.00000
14.00000
16.00000
18.00000
16.00000
14.00000
16.00000
14.00000
16.00000
18.00000
16.00000
18.00000
16.00000
14.00000
16.00000
18.00000
S
80.42993
0
0
0
0
U
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
0
5.570065
0
0
0
0
0
4
0
0
0
0
0
8.17804E-15
0
0
0
0
0
6.30512E-16
0.469053
-0.128442
-0.725937
-0.128442
0.469053
0.000000
0.707107
0.000000
-0.707107
0.000000
-0.754356
0.156349
-0.156349
0.156349
0.598007
-0.048742
0.511145
-0.511145
0.511145
-0.462403
U1
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
0.469053
-0.128442
-0.725937
-0.128442
0.469053
0.000000
0.707107
0.000000
-0.707107
0.000000
-0.754356
0.156349
-0.156349
0.156349
0.598007
1.82
1.77
1.73
1.77
1.82
1.77
1.73
1.77
2.04
1.99
1.94
1.99
2.04
1.99
1.94
1.99
X - hat1 = U1 * U1' * X
2.26
2.04
2.20
1.99
2.14
1.94
2.20
1.99
2.26
2.04
2.20
1.99
2.14
1.94
2.20
1.99
Reconstructed
Check
X
TRUE
3.00
TRUE
2.00
TRUE
1.00
TRUE
2.00
TRUE
3.00
TRUE
2.00
TRUE
1.00
TRUE
2.00
3.00
2.00
1.00
1.0
2.0
3.0
2.0
1.0
2.50
C = X * X'
18.00000
16.00000
14.00000
16.00000
18.00000
2.00
N=
L=
K=
M=
No.Coeffs
http://strijov.com/sources/demo_ssa_forecast.php#2
=
=
=
=
=
=
=
=
=
=
=
=
X1
2.26
2.12
1.98
1.99
1.99
1.99
1.99
1.99
1.90
1.85
1.99
+
+
+
+
+
+
+
+
+
+
+
+
2.00
1.50
1.00
0.50
0.00
1
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
U2
0.469053
-0.128442
-0.725937
-0.128442
0.469053
X - hat2 = U2 * U2' * X
0.74
-0.04
-0.20
0.01
-1.14
0.06
-0.20
0.01
0.74
-0.04
-0.20
0.01
-1.14
0.06
-0.20
0.01
X2
0.74
-0.12
-0.65
0.01
0.51
0.01
-0.49
0.01
0.43
0.15
0.01
0.000000
0.707107
0.000000
-0.707107
0.000000
-0.754356
0.156349
-0.156349
0.156349
0.598007
-0.82
0.23
1.27
0.23
-0.82
0.23
1.27
0.23
-0.04
0.01
0.06
0.01
-0.04
0.01
0.06
0.01
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
0.469053
-0.128442
-0.725937
-0.128442
0.469053
X - hat3 = U3 * U3' * X
0.00
0.00
0.00
-1.00
0.00
0.00
0.00
1.00
0.00
0.00
0.00
-1.00
0.00
0.00
0.00
1.00
+
+
+
+
+
+
+
+
+
+
+
+
=MMULT( Xmat,TRANSPOSE( Xmat))

=SVD_D( C Mat )
=SVD_U( C Mat )
=(MMULT(MMULT( U Mat,TRANSPOSE( U Mat )), X Mat ))
=MMULT(TRANSPOSE(M - 1 prior datapoints),(MMULT(L - 1 eienvectors,TRANSPOSE(Last row eigenvectors))/(1-SUMSQ(Last row eigenvectors))))
etc are the diagonal averages of the above X-Hat Matrices
X3
0.00
0.00
-0.33
0.00
0.50
0.00
-0.50
0.00
0.67
0.00
-1.00
U3
0.000000
0.707107
0.000000
-0.707107
0.000000
-0.754356
0.156349
-0.156349
0.156349
0.598007
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.00
0.00
-1.00
0.00
1.00
0.00
-1.00
+
+
+
+
+
+
+
+
+
+
+
+
10
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
11
0.469053
-0.128442
-0.725937
-0.128442
0.469053
X - hat4 = U4 * U4' * X
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
X4
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000000
0.707107
0.000000
-0.707107
0.000000
U4
-0.754356
0.156349
-0.156349
0.156349
0.598007
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Example as per
F
1
2
3
4
5
6
7
8
Mean
N=
L=
K=
M=
No of Coefficients
3
2
1
2
3
2
1
2
1.00
0.00
-1.00
0.00
1.00
0.00
-1.00
0.00
2.00
8
5
4
7
6
Data points
Window length
No of lagged vectors
forecast length
Alpha Coeffs
X
3.0
2.0
1.0
2.0
3.0
2.0
1.0
2.0
3.0
2.0
1.0
2.0
3.0
2.0
1.0
2.0
3.0
2.0
1.0
2.0
C = X * X'
18.00000
16.00000
14.00000
16.00000
18.00000
16.00000
18.00000
16.00000
14.00000
16.00000
14.00000
16.00000
18.00000
16.00000
14.00000
16.00000
14.00000
16.00000
18.00000
16.00000
18.00000
16.00000
14.00000
16.00000
18.00000
S
80.42993
0
0 5.570065
0
0
0
0
0
0
0
0
4
0
0
0
0
0
8.18E-15
0
0
0
0
0
6.31E-16
8.968274 2.360099
9.04E-08
2.51E-08
0.000000
0.707107
0.000000
-0.707107
0.000000
-0.754356
0.156349
-0.156349
0.156349
0.598007
-0.048742
0.511145
-0.511145
0.511145
-0.462403
U
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
0.469053
-0.128442
-0.725937
-0.128442
0.469053
U4
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
< Using first 4 eigenvectors only

0.469053 0.000000 -0.754356
-0.128442 0.707107 0.156349
-0.725937 0.000000 -0.156349
-0.128442 -0.707107 0.156349
0.469053 0.000000 0.598007
X - hat = U4 * U4' * X
3.0
2.0
2.0
1.0
1.0
2.0
2.0
3.0
3.0
2.0
2.0
1.0
1.0
2.0
2.0
3.0
X=
3.00
2.00
1.00
1.0
2.0
3.0
2.0
1.0
2.0
3.0
2.0
2.0
3.0
2.0
1.0
2.0
3.0
2.0
1.0
Note Forecast Step uses entire m
2.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
3.000000
2.000000
1.000000
2.000000
3.000000
2.000000
1.000000
2.000000
3.000000
2.000000
1.000000
2.000000
3.000000
2.000000
1.000000
One step from X and Un matrices

3.00
3.00
2.00
2.00
1.00
1.00
2.00
2.00
3.00
3.00
2.00
2.00
1.00
1.00
2.00
2.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
3.5
3
2.5
2
1.5
1
0.5
Reconstructed
Forecast
0
1
Some other examples to try

-1
3
-1
2
0
1
0
2
1
3
1
2
0
1
0
2
10 11 12 13 14 15
< Using just first 4 eigenvectors 1 at a time - Note could also be groups so long as con
U1
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
0.469053
-0.128442
-0.725937
-0.128442
0.469053
0.000000
0.707107
0.000000
-0.707107
0.000000
-0.754356
0.156349
-0.156349
0.156349
0.598007
X - hat1 = U1 * U1' * X
2.26
2.04
2.20
1.99
2.14
1.94
2.20
1.99
2.26
2.04
Note Forecast Step uses entire matrix >
2.20
1.99
2.14
1.94
2.20
1.99
1.82
1.77
1.73
1.77
1.82
1.77
1.73
1.77
2.04
1.99
1.94
1.99
2.04
1.99
1.94
1.99
Check
TRUE
TRUE
TRUE
X
3.00
2.00
1.00
=
=
=
=
X1
2.26
2.12
1.98
+
+
+
+
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
X - hat2 = U2 * U2' * X
0.74
-0.20
-1.14
-0.20
0.74
-0.20
-1.14
-0.20
X2
0.74
-0.12
-0.65
TRUE
TRUE
TRUE
TRUE
TRUE
2.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
=
=
=
=
=
=
=
=
1.99
1.99
1.99
1.99
1.99
1.90
1.85
1.99
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
3.00
2.00
1.00
2.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
=
=
=
=
=
=
=
=
2.26
2.12
1.98
1.99
1.99
1.92
1.91
2.04
2.26
2.12
1.98
1.99
1.99
1.92
1.91
2.04
2.26
2.12
1.98
1.99
1.99
1.92
1.91
2.04
0.74
-0.12
-0.65
0.01
0.51
0.08
-0.41
-0.04
0.00
0.00
-0.33
0.00
0.50
0.00
-0.50
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2.26
2.20
2.14
2.20
2.26
2.20
2.14
2.20
2.04
1.99
1.94
1.99
2.04
1.99
1.94
1.99
1.82
1.77
1.73
1.77
1.82
1.77
1.73
1.77
2.04
1.99
1.94
1.99
2.04
1.99
1.94
1.99
3.00
2.00
1.00
2.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
2.00
3.00
2.00
1.00
2.26
2.12
1.98
1.99
1.99
1.99
1.99
1.99
1.90
1.85
1.99
+
+
+
+
+
+
+
+
0.01
0.51
0.01
-0.49
0.01
0.43
0.15
0.01
+
+
+
+
+
+
+
+
0.74
-0.12
-0.65
0.01
0.51
0.08
-0.41
-0.04
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.74
-0.20
-1.14
-0.20
0.74
-0.20
-1.14
-0.20
0.74
-0.12
-0.65
0.01
0.51
0.01
-0.49
0.01
0.43
0.15
0.01
t a time - Note could also be groups so long as contiguous and in descending eigenvalue order
U2
U3
0.469053 0.000000 -0.754356
-0.456684 0.469053 0.000000
-0.128442 0.707107 0.156349
-0.444734 -0.128442 0.707107
-0.725937 0.000000 -0.156349
-0.432784 -0.725937 0.000000
-0.128442 -0.707107 0.156349
-0.444734 -0.128442 -0.707107
0.469053 0.000000 0.598007
-0.456684 0.469053 0.000000
X - hat2 = U2 * U2' * X
-0.04
0.01
0.06
0.01
-0.04
0.01
0.06
0.01
-0.82
0.23
1.27
0.23
-0.82
0.23
1.27
0.23
-0.04
0.01
0.06
0.01
-0.04
0.01
0.06
0.01
+
+
+
+
X - hat3 = U3 * U3' * X
0.00
0.00
0.00
-1.00
0.00
0.00
0.00
1.00
0.00
0.00
0.00
-1.00
0.00
0.00
0.00
1.00
X3
0.00
0.00
-0.33
-0.754356
0.156349
-0.156349
0.156349
0.598007
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.00
0.00
-1.00
0.00
1.00
0.00
-1.00
+
+
+
+
-0.04
0.01
0.06
0.01
-0.04
0.01
0.06
0.01
-0.82
0.23
1.27
0.23
-0.82
0.23
1.27
0.23
+
+
+
+
+
+
+
+
0.00
0.50
0.00
-0.50
0.00
0.67
0.00
-1.00
+
+
+
+
+
+
+
+
+
+
+
+
+
+
+
+
0.00
0.00
-0.33
0.00
0.50
0.00
-0.50
0.00
+
+
+
+
+
+
+
+
-0.04
0.01
0.06
0.01
-0.04
0.01
0.06
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
-0.33
0.00
0.50
0.00
-0.50
0.00
0.67
0.00
-1.00
0.00
-1.00
0.00
1.00
0.00
-1.00
0.00
1.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.00
0.00
-1.00
0.00
1.00
0.00
-1.00
0.469053
-0.128442
-0.725937
-0.128442
0.469053
0.000000
0.707107
0.000000
-0.707107
0.000000
U4
-0.754356
0.156349
-0.156349
0.156349
0.598007
X - hat4 = U4 * U4' * X
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
-0.456684
-0.444734
-0.432784
-0.444734
-0.456684
X4
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Online SVD Calculator

Online SVD Calculator
Open source SVD VBA
Open source SVD VBA
Open source SVD VBA
Various SSA software implementations in Matlab and R
SSA Examples
Singular Spectrum Analysis - MultiTaper Method (SSA-MTM) Toolkit
'Caterpillar'-SSA
Caterpillar'-SSA Examples
Commercial Excel Add-In XLCycles
Commercial Excel Add-In Ipredict
Commercial Excel Add-In ApaLibNET
R implemantation of SSA
Separation and Reconstruction in Singular Spectrum Analysis

On the choice of parameters in Singular Spectrum Analysis
Singular Spectrum Analysis: Methodology and Comparison
Empirical Orthogonal Functions and Statistical Weather Prediction
Various papers on SSA
Old and New Spectral Techniques for Economic Time Series
A Review of Some Modern Approaches to the Problem of Trend Extraction
Analysis of Time Series Structure: SSA and related techniques
Singular Spectrum Analysis: A New Tool in Time Series Analysis
Various papers on SSA
Change-Point Detection in Time Series
Comparison of recurrent and vector forecasting
On the choice of a linear reccurent formula for the SSA forecast
The Caterpillar-SSA approach to time series analysis and its automatization
Predicting Daily Exchange Rate with Singular Spectrum Analysis
Source:
LAPACK
NIST
MATRIX.XLA
RNC
ALGLIB
Theodore Alexandrov
Vadim Strijov
Michael Ghil
Nina Golyandina
Nina Golyandina
Rick Gibbs
http://www.bluebit.gr/matrix-calculator/calculate.aspx
http://metamerist.com/excanvas/example23a.htm
http://digilander.libero.it/foxes/matrix.zip
http://www.rnfc.org/rhapsody/math/
http://www.alglib.net/matrixops/general/svd.php
Andreas Steiner
Anton Korobeynikov
http://www.math.uni-bremen.de/~theodore/ssawiki/pmwiki.php?n=Main.Software
http://www.atmos.ucla.edu/tcd/ssa/
http://www.gistatgroup.com/cat/programs.html
http://www.gistatgroup.com/cat/examples/ex_1_8.html
http://technical-analysis-addins.com/singular-spectrum-analysis.php
http://www.ipredict.it/Methods/PrincipalComponentAnalysis.aspx
http://www.apalibnet.com/XLL.aspx
http://cran.r-project.org/web/packages/Rssa/index.html
Atikur Khan
Nina Golyandina
Hossein Hassani
Edward Lorenz
Anatoly Zhigljavsky
Lisa Sella
Theodore Alexandrov
Golyandina, Nekrutin and Zhigljavsky
Elsner and Tsonis
Theodore Alexandrov
Valentina Moskvina
Andrey Pepelyshev
Andrey Pepelyshev
Alexandrov and Golyandina
Hassani, Soofi and Zhigljavsky
http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2011/wp23-11.pdf
http://www.citebase.org/fulltext?format=application%2Fpdf&identifier=oai%3AarXiv.org
http://mpra.ub.uni-muenchen.de/4991/2/MPRA_paper_4991.pdf
http://www.o3d.org/abracco/Atlantic/Lorenz1956.pdf
http://www.cf.ac.uk/maths/subsites/zhigljavskyaa/publics.html
http://www.de.unito.it/web/member/segreteria/WP/2008/9_WP_Sella.pdf
http://www.census.gov/srd/papers/pdf/rrs2008-03.pdf
http://www.amazon.com/dp/1584881941
http://www.amazon.com/Singular-Spectrum-Analysis-Tool-Time/dp/1441932666/ref=sr
http://www.pdmi.ras.ru/~theo/autossa/english/publications.htm
http://www.cardiff.ac.uk/maths/subsites/stats/changepoint/
http://ssa.cf.ac.uk/pepelyshev/pepelyshev_ssa_forecast.pdf
http://ssa.cf.ac.uk/pepelyshev/pepelyshev_choice_LRF.pdf
http://www.pdmi.ras.ru/~theo/autossa/files/AutoSSA-slides-EN.pdf
http://slb.cf.ac.uk/maths/subsites/zhigljavskyaa/pdfs/SSA/exchange%20rates.pdf
The trajectory matrix X is the restricte

But since X usually has more column
IF we have an SVD routine to hand, w
If we only have a simple symmetric ei

= X * X' which is SQUARE and SYMM
L * E^(-1) and in fact, due to symmetr
Recalling that C = X * X' = E L E' = (U

coefficients that U = E and
algebra. So we have the SVD cheaply
php?n=Main.Software
1/wp23-11.pdf
&identifier=oai%3AarXiv.org%3A1005.4374
WP_Sella.pdf
Time/dp/1441932666/ref=sr_1_1?s=books&ie=UTF8&qid=1348533996&sr=1-1&keywords=singular+spectrum+analysis
xchange%20rates.pdf
tory matrix X is the restricted (Hankel) circulant of which we require the SVD, X = U * S * V'.
usually has more columns than rows, we cannot form the SVD directly.
e an SVD routine to hand, we can simply compute the SVD of X' as X' = V * S * U'
have a simple symmetric eigensolver. In which case, we form the (minimal) covariance matrix C
hich is SQUARE and SYMMETRIC. The important point is SQUARE. We can now write C = E *
and in fact, due to symmetry, C = E * L * E'.
C = X * X' = E L E' = (U * S * V ' ) * (V * S * U') = U * S^2 * U' we can see by comparison of

U = E and S = sqrt(L) (element-wise) and that now computing V is trivial by simple matrix
So we have the SVD cheaply "by the back door".

Singular Spectrum Analysis Demo With VBA

Transféré par

Informations du document

Copyright

Formats disponibles

Partager ce document

Partager ou intégrer le document

Options de partage

Avez-vous trouvé ce document utile ?

Ce contenu est-il inapproprié ?

Droits d'auteur :

Formats disponibles

Singular Spectrum Analysis Demo With VBA

Transféré par

Droits d'auteur :

Formats disponibles

Singular Spectrum Analysis ( SSA ) Worked Example by Peter Urbani

=MMULT( Xmat,TRANSPOSE( Xmat))

< Using first 4 eigenvectors only

Note Forecast Step uses entire m

One step from X and Un matrices

Some other examples to try

Online SVD Calculator

Separation and Reconstruction in Singular Spectrum Analysis

The trajectory matrix X is the restricte

If we only have a simple symmetric ei

Recalling that C = X * X' = E L E' = (U

C = X * X' = E L E' = (U * S * V ' ) * (V * S * U') = U * S^2 * U' we can see by comparison of

Vous aimerez peut-être aussi