Singular Spectrum Analysis smoother
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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.
Free download from Shareware Connection - SSA generates a trayectory matrix from the original series by sliding a window of length L.
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 03-01-2013 | Rating: 0 | Title: Singular Spectrum Analysis smoother
Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/8115/1/ssa.m
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