Geodesic
The problem of processing time series: Extending possibilities of the local approximation method using singular spectrum analysis
Teoretičeskaâ i matematičeskaâ fizika, Tome 142 (2005) no. 1, pp. 148-159

Voir la notice de l'article provenant de la source Math-Net.Ru

We present algorithms for singular spectrum analysis and local approximation methods used to extrapolate time series. We analyze the advantages and disadvantages of these methods and consider the peculiarities of applying them to various systems. Based on this analysis, we propose a generalization of the local approximation method that makes it suitable for forecasting very noisy time series. We present the results of numerical simulations illustrating the possibilities of the proposed method.
Keywords: time series, forecast, local approximation.
Mots-clés : chaos 
@article{TMF_2005_142_1_a12,
     author = {I. A. Istomin and O. L. Kotlyarov and A. Yu. Loskutov},
     title = {The problem of processing time series: {Extending} possibilities of the local approximation method using singular spectrum analysis},
     journal = {Teoreti\v{c}eska\^a i matemati\v{c}eska\^a fizika},
     pages = {148--159},
     publisher = {mathdoc},
     volume = {142},
     number = {1},
     year = {2005},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TMF_2005_142_1_a12/}
}
TY  - JOUR
AU  - I. A. Istomin
AU  - O. L. Kotlyarov
AU  - A. Yu. Loskutov
TI  - The problem of processing time series: Extending possibilities of the local approximation method using singular spectrum analysis
JO  - Teoretičeskaâ i matematičeskaâ fizika
PY  - 2005
SP  - 148
EP  - 159
VL  - 142
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TMF_2005_142_1_a12/
LA  - ru
ID  - TMF_2005_142_1_a12
ER  - 
%0 Journal Article
%A I. A. Istomin
%A O. L. Kotlyarov
%A A. Yu. Loskutov
%T The problem of processing time series: Extending possibilities of the local approximation method using singular spectrum analysis
%J Teoretičeskaâ i matematičeskaâ fizika
%D 2005
%P 148-159
%V 142
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TMF_2005_142_1_a12/
%G ru
%F TMF_2005_142_1_a12
I. A. Istomin; O. L. Kotlyarov; A. Yu. Loskutov. The problem of processing time series: Extending possibilities of the local approximation method using singular spectrum analysis. Teoretičeskaâ i matematičeskaâ fizika, Tome 142 (2005) no. 1, pp. 148-159. http://geodesic.mathdoc.fr/item/TMF_2005_142_1_a12/