The program is based on the powerful model-free method of time series analysis Caterpillar (another name is SSA - SingularSpectrum analysis)... The basic Caterpillar-SSA algorithm foranalyzing one-dimensional time series consists of transformation of the one-dimensional time series to the trajectory matrix by means of a delayprocedure (this gives the name to the whole technique); Singular Value Decomposition of the trajectory matrix; reconstruction of the originaltime series based on a number of selected eigenvectors... Themethod can be naturally extended to forecasting time series and its components, processing multidimensional time series and to change-pointdetection...
Tags: periodicities, seasonalities, statistics, software, principal, component, decomposition, singular, value, svd, reconstruction, approximation, spectrum,