SSA报告.pptVIP

Methodology The main concept of separability : decomposition reconstruction 1、Embedding Let x1, . . . , xN be a time series of length N. Given a window length L (1L≤N/2), we construct the L-lagged vectors Xi =(xi , . . . , xi+L-1)T , i = 1, 2, . . . ,K, where K = N - L + 1, and compose these vectors into the trajectory matrix X=[X1, . . . ,XK], which is a Hankel matrix. 1、Embedding 2 3. Decomposition Grouping The eigen-decomposition of the matrix X*XT (equivalently, the SVD of X) yields a collection of L eigenvalues and eigenvectors. A particular combination of a certain number r