CiSSA: Circulant SSA under Matlab
Version 2.1.2 (7.25 KB) by
Juan Bógalo Román
Circulant Singular Spectrum Analysis is a procedure for signal processing
A set of MATLAB functions is presented for signal extraction by Circulant Singular Spectrum Analysis (SSA), a procedure proposed in Bógalo et al (2021). Circulant SSA is a new variant of SSA that allows to extract the signal associated to any frequency speci ed beforehand. This is a novelty when compared with other SSA procedures that need to identify ex-post the frequencies associated to the extracted signals. Circulant SSA offers a solution based on circulant matrices and presents an automated procedure to compute the optimal reconstruction. This solution can be applied to the non-stationary series, and in the non-linear case. The procedure is non-parametric and it has been automated so as the final user only needs to give the data and specify the window length. It works well for economic time series as well as for series coming from the physical world with both modulated amplitude and frequency (AM-FM signals).
Cite As
Juan Bógalo Román (2024). CiSSA: Circulant SSA under Matlab (https://github.com/jbogalo/CiSSA/releases/tag/2.1.2), GitHub. Retrieved .
Bógalo, J., Poncela, P., & Senra, E. (2021). Circulant singular spectrum analysis: A new automated procedure for signal extraction. Signal Processing, 179, 107824. https://doi.org/10.1016/j.sigpro.2020.107824
MATLAB Release Compatibility
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R2020b
Compatible with any release
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Version | Published | Release Notes | |
---|---|---|---|
2.1.2 | See release notes for this release on GitHub: https://github.com/jbogalo/CiSSA/releases/tag/2.1.2 |
To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.