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Multivariate Singular Spectrum Analysis in DelayEmbeddings #8

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finmod opened this issue Nov 18, 2018 · 1 comment

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enhancement help wanted

finmod commented Nov 18, 2018 •

edited by Datseris

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@Datseris I am following your progress with DelayEmbedding and all. Can I suggest that you also bring Broomhead and King and Multivariate Singular Spectral Analysis into the Embedding methods as it deals nicely with noise and rank with respect to other embedding methods (http://www.spectraworks.com/Help/mssatheory.html). There is almost nothing on MSSA in julia. Some tutorials in Matlab are available here: https://www.mathworks.com/matlabcentral/fileexchange/58968-multichannel-singular-spectrum-analysis-beginners-guide and you have the setup already in place. ToeplitzMatrices.jl and BlockSparseMatrices.jl could be of help.

An obvious extension to reconstruct is to also include MSSA.

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Datseris commented Nov 18, 2018

Awesome! Thanks a lot for all these useful links!

JuliaDynamics deleted a comment from finmod

Datseris added enhancement help wanted labels

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