Time Series components separation based on Singular Spectral Analysis visualization: an HJ-biplot method application
The extraction of essential features of any real-valued time series is crucial for exploring, modeling and producing, for example, forecasts. Taking advantage of the representation of a time series data by its trajectory matrix of Hankel constructed using Singular Spectrum Analysis, as well as of it...
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| Format: | article |
| Language: | eng |
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2020
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| Online Access: | http://hdl.handle.net/10773/28715 |
| Country: | Portugal |
| Oai: | oai:ria.ua.pt:10773/28715 |
| Summary: | The extraction of essential features of any real-valued time series is crucial for exploring, modeling and producing, for example, forecasts. Taking advantage of the representation of a time series data by its trajectory matrix of Hankel constructed using Singular Spectrum Analysis, as well as of its decomposition through Principal Component Analysis via Partial Least Squares, we implement a graphical display employing the biplot methodology. A diversity of types of biplots can be constructed depending on the two matrices considered in the factorization of the trajectory matrix. In this work, we discuss the called HJ-biplot which yields a simultaneous representation of both rows and columns of the matrix with maximum quality. Interpretation of this type of biplot on Hankel related trajectory matrices is discussed from a real-world data set. |
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