Singular Spectrum Analysis smoother (Scripts) Publisher's description
SSA generates a trayectory matrix from the original series by sliding a window of length L.
SSA generates a trayectory matrix from the original series by sliding a window of length L. The trayectory matrix is aproximated using Singular Value Decomposition. The last step reconstructs the series from the aproximated trayectory matrix. The SSA applications include smoothing, filtering, and trend extraction.
The algorithm used is described in detail in: Golyandina, N., Nekrutkin,
V., Zhigljavsky, A., 2001. Analisys of Time Series Structure - SSA and Related Techniques. Chapman & Hall/CR and Alonso, F.J., Del Castillo, J.M, Pintado, P., (2005), Application of singular spectrum analysis to the smoothing of raw kinematic signals. J. Biomech. 38, 1085-1092.
System Requirements:MATLAB 5.3 (R11)
Program Release Status: New Release
Program Install Support: Install and Uninstall