Basic Singular Spectrum Analysis and Forecasting with R

TL;DR

This paper introduces the Rssa package for Singular Spectrum Analysis, demonstrating its application in time series analysis, forecasting, and parameter estimation through practical case studies in R.

Contribution

It presents the implementation of SSA algorithms in R via the Rssa package and provides practical examples for analysis and forecasting.

Findings

Effective analysis and forecasting demonstrated on real data

Parameter estimation capabilities showcased

User-friendly R package for SSA provided

Abstract

Singular Spectrum Analysis (SSA) as a tool for analysis and forecasting of time series is considered. The main features of the Rssa package, which implements the SSA algorithms and methodology in R, are described and examples of its use are presented. Analysis, forecasting and parameter estimation are demonstrated by means of case study with an accompanying code in R.