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Optimal filtering in singular spectrum analysis

Allen, Myles R. and Smith, Leonard A. (1997) Optimal filtering in singular spectrum analysis. Physics Letters A, 234 (6). pp. 419-428. ISSN 0375-9601

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Identification Number: 10.1016/S0375-9601(97)00559-8


Singular spectrum analysis (SSA) provides a robust method of separating an arbitrary signal from “white” (independent, identically distributed) noise. In the presence of “coloured” noise, or any autocorrelated process, high-variance components of the noise can confuse the singular value decomposition, thereby obscuring genuine signals which are, in principle, detectable. A generalization of SSA is presented which yields both an optimal filter to discriminate against an arbitrary coloured noise and an objective method of quantifying uncertainty in signal reconstruction. The algorithm is applied to a simple synthetic signal-separation problem and used to resolve a degeneracy in the SSA of interannual and interdecadal variability of the Earth's global mean temperature.

Item Type: Article
Official URL:
Additional Information: © 1997 Elsevier B.V.
Divisions: Centre for Analysis of Time Series
Subjects: G Geography. Anthropology. Recreation > GE Environmental Sciences
Q Science > QA Mathematics
Q Science > QC Physics
Date Deposited: 26 Jan 2009 14:37
Last Modified: 15 May 2024 23:39

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