The benefits of multivariate singular spectrum analysis over the univariate version

摘要

Singular Spectrum Analysis (SSA) is a relatively simple and powerful method in the area of time series analysis that is mainly based on matrix analysis. In this paper, we present a methodological comparison between the univariate and multivariate versions of SSA. Additionally, we explore the advantages of multivariate SSA in terms of theoretical results and with application to a real data set on currency exchange rates. (c) 2017 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.