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Proceedings Paper

The SSA-MTM Toolkit: applications to analysis and prediction of time series
Author(s): Michael Ghil
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Paper Abstract

A toolkit of software for advanced spectral methods has been in the public domain since 1995 and an extensive revision has been made available on the Worldwide Web in Spring 1997. The toolkit emphasizes, besides the more traditional Blackman- Tukey and maximum-entropy methods, singular-spectrum analysis (SSA) and the multi-taper method (MTM); hence its name. The original developers of the SSA Toolkit (at first), the researchers involved in its recent extension as an SSA-MTM toolkit, and many independent investigators have applied successive versions of the toolkit to a variety of practical problems. Some of the methodological basics are reviewed, and applications to time-series prediction are outlined.

Paper Details

Date Published: 13 October 1997
PDF: 15 pages
Proc. SPIE 3165, Applications of Soft Computing, (13 October 1997); doi: 10.1117/12.279594
Show Author Affiliations
Michael Ghil, Univ. of California/Los Angeles (United States)

Published in SPIE Proceedings Vol. 3165:
Applications of Soft Computing
Bruno Bosacchi; James C. Bezdek; David B. Fogel, Editor(s)

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