REMINDER
CENTRE FOR MEDICAL STATISTICS
SEMINAR SERIES on BIOSTATISTICS 2001/2002
NO 3: Wednesday, November 28th, 2001, at 2:30 pm
"Singular spectrum analysis as a technique of time series analysis and
change-point detection"
Anatoly Zhigljavsky
Cardiff University
SSA, the Singular Spectrum Analysis, is a general term referring to the
technique of time series analysis based on singular value
decomposition of the 'delay matrix' formed by combining several lagged
copies of the original series.
There is a certain flexibility in the methodology that could make it
extremely powerful. We use a large amount of real data from
different fields to elucidate the key ideas of the methodology, to
demonstrate its power, and to caution about snags.
We also describe some underlying mathematical/statistical models and
related theoretical results. The basic problems here are
separation of one signal from another and separation of a signal from
noise. The signals are, roughly speaking the time series
that are well approximated by solutions of finite-difference equations
and the noise is what could not be well approximated by
solutions of such equations. Noise is thus modelled in a non-stochastic
manner but it could certainly include stochastic
components.
The problems we consider are: analysis of structure of time series, time
series forecast and change-point detection.
All welcome!!
Venue:
Room 2.22, Third Floor
MacKay Building
Keele University
http://www.keele.ac.uk
http://www.keele.ac.uk/depts/ma/seminars/medstats.html
http://www.keele.ac.uk/university/campus/maps/
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Janet Drewery
Centre for Medical Statistics
MacKay Building
Keele University
Keele, Staffs ST5 5BG
Tel: (01782) 583269
Fax: (01782) 583269/584268
E-mail: [log in to unmask]
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