A new approach for selecting the number of the eigenvalues in singular spectrum analysis

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Authors: Alharbi, N. and Hassani, H.

Journal: Journal of the Franklin Institute

Volume: 353

Issue: 1

Pages: 1-16

ISSN: 0016-0032

DOI: 10.1016/j.jfranklin.2015.10.015

© 2015 The Franklin Institute. Singular spectrum analysis (SSA) is a reliable technique for separating an arbitrary signal from a noisy time series (signal+noise). The SSA technique is based upon two main selections: window length, L, and the number of the eigenvalues, r. These values play an important role for the reconstruction stage. In this paper, we introduce a new approach for selecting the optimal value of r, which is based on the distribution of the eigenvalues of a scaled Hankel matrix. The proposed approach is applied to a number of simulated and real data with different structures. The results indicate that the proposed approach has potential in selecting the value of r for signal extraction.

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