IDENTIFICATION OF THE STRUCTURE OF NONSTATIONARY TIME
SERIES WITH THE SINGULAR SPECTRUM
ANALYSIS METHOD
A.A. Chistyakova, B.V. Shamsha
This
paper represents the method of Singular Spectrum Analysis (SSA) to identify the
structure of non-stationary time series. The purpose of this method is the
selection of the time
series components, such as trend and periodic component. Solution of this
problem is necessary for constructing the model of time series and determination
of the masked dependences. The analysis of the structure of nonstationary
time series of prices of the sugar is carried out Recommendations on the choice
of parameters of SSA to identify the components of time series, which cannot be
reduced to a uniform are given. The model of nonstationary time series taking into account the components
of trend and periodicals is built.
Key words: nonstationary time series, identification of the model, singular spectrum
analysis, principal components.