Time Series Forecasting Part 4 - Singular Spectrum Analysis
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Section 1: What is Singular Spectrum Analysis
- Introduction to SSA
- How SSA is different from regular Time Series Decomposition
- Download Resources
Section 2: Building SSA without Libraries
- Building SSA without Libraries
- Creating a Toy Time Series
- Step 1: Create the Trajectory matrix
- Step 2: Decompose the Trajectory matrix
- Step 3: Construct the elementary matrix
- Step 4: Reconstructing the Time Series
- Course Review
- Grouping the similar component
- How to choose the value of k in SSA
Section 3: Apply SSA on Real world dataset - AirPassengers
- Apply SSA on Real world dataset - AirPassengers
- Import and prepare the data for SSA
- Create the Trajectory matrix
- Decompose the Trajectory matrix
- Create the Elementary Matrix
- Hankelise
- The first 12 Component
- How to group them
- Perform SSA using PYTS
Section 5: Forecasting with SSA
- Forecasting with SSA