Takens Theorem with Singular Spectrum Analysis Applied to Noisy Time Series

Takens Theorem with Singular Spectrum Analysis Applied to Noisy Time Series

The evolution of big data has led to financial time series becoming increasingly complex, noisy, non-stationary and nonlinear. Takens theorem can be used to analyze and forecast nonlinear time series, but even small amounts of noise can hopelessly corrupt a Takens approach. In contrast, Singular Spe...

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Bibliographic Details
Main Author: Torku, Thomas K
Format: Others
Language:English
Published: Digital Commons @ East Tennessee State University 2016
Subjects:
Singular Value Decomposition
Singular Spectrum Analysis
Takens Vectors
Entropy
Mutual Information
Financial time series
Algebra
Applied Mathematics
Longitudinal Data Analysis and Time Series
Other Statistics and Probability
Statistical Models
Online Access:https://dc.etsu.edu/etd/3013
https://dc.etsu.edu/cgi/viewcontent.cgi?article=4422&context=etd

Internet

https://dc.etsu.edu/etd/3013
https://dc.etsu.edu/cgi/viewcontent.cgi?article=4422&context=etd

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