Bootstrapping non‐stationary and irregular time series using singular spectral analysis

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-07-04 DOI:10.1111/jtsa.12759

Don S. Poskitt

引用次数: 0

Abstract

This article investigates the consequences of using Singular Spectral Analysis (SSA) to construct a time series bootstrap. The bootstrap replications are obtained via a SSA decomposition obtained using rescaled trajectories (RT‐SSA), a procedure that is particularly useful in the analysis of time series that exhibit nonlinear, non‐stationary and intermittent or transient behaviour. The theoretical validity of the RT‐SSA bootstrap when used to approximate the sampling properties of a general class of statistics is established under regularity conditions that encompass a very broad range of data generating processes. A smeared and a boosted version of the RT‐SSA bootstrap are also presented. Practical implementation of the bootstrap is considered and the results are illustrated using stationary, non‐stationary and irregular time series examples.

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利用奇异谱分析引导非平稳和不规则时间序列

本文研究了使用奇异谱分析（SSA）构建时间序列自举的后果。自举复制是通过使用重标定轨迹（RT-SSA）获得的 SSA 分解来实现的，这一过程在分析表现出非线性、非平稳、间歇或瞬时行为的时间序列时特别有用。RT-SSA bootstrap 用于近似一般统计类别的抽样属性时，其理论有效性是在包含非常广泛的数据生成过程的正则性条件下建立的。此外，还介绍了 RT-SSA 引导法的抹黑和提升版本。考虑了自举法的实际应用，并使用静态、非静态和不规则时间序列示例说明了结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.