A0201
Title: A robust approach to singular spectrum analysis
Authors: Paulo Canas Rodrigues - Federal University of Bahia (Brazil) [presenting]
Abstract: Singular spectrum analysis (SSA) is a non-parametric method for time series analysis and forecasting that incorporates elements of classical time series analysis, multivariate statistics, multivariate geometry, dynamical systems and signal processing. Although this technique has shown to be advantageous over traditional model based methods, in particular, one of the steps of the SSA algorithm, which refers to the singular value decomposition (SVD) of the trajectory matrix, is highly sensitive to data contamination. Specifically, and because SVD decomposition is least-squares based, the presence of a single outlier, if extreme, may be enough to draw the leading principal component towards itself resulting in possible misinterpretations, which may subsequently, in particular and in the case of time series analysis, lead to reduced quality of model fit and forecast accuracy. In order to alleviate this problem, a robust SSA algorithm is proposed, where a robust SVD procedure replaces the least-squares based one in the original SSA procedure. The SSA and the robust SSA approaches are compared in terms of model fit quality via Monte Carlo simulations that contemplate both clean and noisy/contaminated time series. The adequacy and value of the proposed approach is then compared with the standard SSA using real data.
