In this paper we propose a new methodology for selecting the window length in Singular Spectral Analysis in which the window length is determined from the data prior to the commencement of modeling. The selection procedure is based on statistical tests designed to test the convergence of the...

In Singular Spectrum Analysis (SSA) window length is a critical tuning parameter that must be assigned by the practitioner. This paper provides a theoretical analysis of signal-noise separation and reconstruction in SSA that can serve as a guide to optimal window choice. We establish numerical...

This paper provides an information theoretic analysis of the signal-noise separation problem in Singular Spectrum Analysis. We present a signal-plus-noise model based on the Karhunen-Loève expansion and use this model to motivate the construction of a minimum description length criterion that...