On the singular values of the Hankel matrix with application in singular spectrum analysis

被引：0

作者：

Mahmoudvand, Rahim ^{[1
]}

Zokaei, Mohammad ^{[1
]}

机构：

[1] Shahid Beheshti Univ, Dept Stat, POB 1983963113, Tehran, Iran

来源：

CHILEAN JOURNAL OF STATISTICS | 2012年 / 3卷 / 01期

关键词：

Eigenvalues; Singular spectrum analysis;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Hankel matrices are an important family of matrices that play a fundamental role in diverse fields of study, such as computer science, engineering, mathematics and statistics. In this paper, we study the behavior of the singular values of the Hankel matrix by changing its dimension. In addition, as an application, we use the obtained results for choosing the optimal values of the parameters of singular spectrum analysis, which is a powerful technique in time series based on the Hankel matrix.

引用

页码：43 / 56

页数：14

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