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baggepinnen / SingularSpectrumAnalysis.jl

A package for performing Singular Spectrum Analysis (SSA) and time-series decomposition
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Multichannel SSA #4

Open finmod opened 6 years ago

finmod commented 6 years ago

Does your SingularSpectrumAnalysis also cover Multivariate/multichannel SSA as in https://arxiv.org/pdf/1309.5050 ?

I see that you follow DifferentialEquations.jl and other items in nonlinear dynamics. You may be interested to see JuliaDynamics where there is an implementation of Bloomhead and King (SSA) in nlts.jl applied to the gissinger model.

baggepinnen commented 4 years ago

Multichannel SSA should soon work. hankelize has been outsourced to another package that supports multiple dimensions as well as robust factorizations. Multi-channel forecasting is still not available, but should be fairly straightforward to add.