一种基于奇异谱分析的趋势提取方法
A Method of Trend Extraction Using Singular Spectrum Analysis
摘要：
本文提出了一种新的趋势提取的奇异谱分析（SSA）方法的框架。该方法使用方便，不需要指定时间序列和趋势的模型，允许在存在噪声和振荡的情况下提取趋势，并且只有两个参数（除了称为窗口长度的基本SSA参数）。一个参数管理提取的趋势的规模，另一个是方法特定的阈值。我们提出的参数的选择程序。所提出的方法进行评估的模拟时间序列与多项式的趋势和振荡成分与未知的周期和季节性调整后的月度数据的失业水平在阿拉斯加期间1976/01-2006/09。
英文摘要：
The paper presents a new method of trend extraction in the framework of the Singular Spectrum Analysis (SSA) approach. This method is easy to use, does not need specification of models of time series and trend, allows to extract trend in the presence of noise and oscillations and has only two parameters (besides basic SSA parameter called window length). One parameter manages scale of the extracted trend and another is a method specific threshold value. We propose procedures for the choice of the parameters. The presented method is evaluated on a simulated time series with a polynomial trend and an oscillating component with unknown period and on the seasonally adjusted monthly data of unemployment level in Alaska for the period 1976/01-2006/09.
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