Mon, Jan 22, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
New Managers September 2012

Peter Urbani' Statistics - An Introduction to Singular Spectrum Analysis

An Introduction to Singular Spectrum Analysis (SSA)

Most of you will be familiar with Principal Component Analysis (PCA), used mostly in fixed income models where the first three ordered principal components, or dominant eigenvalues, are deemed to represent the level, slope and curvature of the yield curve. This month we review a related method namely Singular Spectrum Analysis (SSA). I have also included a worked example and a spreadsheet implementation that can be downloaded here.

The mathematics behind SSA has multiple names. It is also known as: Proper Orthogonal Decomposition, PCA, Principal Value Decomposition, Singular Value Decomposition, Singular System Analysis, bi-orthogonal decomposition, Karmen Loeve decomposition and the Caterpillar method.

While most traditional econometric time series analysis substantially lies in the time domain, spectral analysis is performed in the frequency domain. The idea dates back to the 1960s and even earlier to a paper by Edward Lorenz, who proposed its use for the measurement and forecasting of localised weather phenomenon. Its use has mostly been in the fields of Geostatistics and Digital Signal Processing until fairly recently with the recent interest in the Mane ......................

To view our full article please login

This article was published in Opalesque's New Managers a top-down monthly analysis, news and research publication on the global emerging manager space.
New Managers
New Managers
New Managers

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Opalesque Exclusive: Statsure Financial launches captive insurer for hedge funds[more]

    Bailey McCann, Opalesque New York: Hedge fund managers have a new option for protecting their business. Launching this week at the annual MFA Conference, Statsure Financial is offering a captive insurance solution for hedge fund managers. Many large companies have captive insurers - insurance

  2. U.S. economy, inflation and alternative investments to dominate 2018 markets, says family office Wilmington Trust[more]

    Komfie Manalo, Opalesque Asia: The emergence of a late-cycle economy in the U.S., the mystery of inflation and growth from a domestic and global perspective, and the potential for alternative investments to prosper against a backdrop of rich valuations, low yields, and higher volatility are the t

  3. Performance - Some hedge funds deliver double-digit gains for 2017, Brevan Howard's hedge fund suffers biggest annual loss in 2017, Crispin Odey's flagship hedge fund plummeted about 20% in 2017, Profits fall 90% at ex-Morgan Stanley banker's hedge fund, Fannie-Freddie overhaul might mint hedge fund riches, losses[more]

    Some hedge funds deliver double-digit gains for 2017 From Reuters/Investing.com: A handful of hedge funds ended 2017 with double digit returns, their investors said, at a time the $3 trillion industry took in fresh money and posted its best returns in years, industry data show. Act

  4. Investing - Hedge funds start 2018 with record $19 billion bet on the euro, Hedge fund Kora Management invests in Satin Creditcare[more]

    Hedge funds start 2018 with record $19 billion bet on the euro From Reuters.com: Hedge funds have kicked off 2018 with their biggest bet ever on the euro rising, a clear vote of confidence in the single currency but, with positioning so stretched, one which could backfire in the near ter

  5. News Briefs - Mobius to retire from Franklin Templeton, Authorities decrypt smart phone of Princeton grad charged with killing Manhattan hedge fund dad, Investigators seize (more) antiques from hedge-fund billionaire Michael Steinhardt's collection[more]

    Mobius to retire from Franklin Templeton Emerging markets pioneer Mark Mobius will be stepping down as executive chairman of the Templeton Emerging Markets Group (TEMG) and formally retire from Franklin Templeton on 31 January. He will also be relinquishing his post as portfolio manager