Sun, Aug 30, 2015
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. Investing - Hedge funds suddenly find real money is back in Argentina's debt, Elon Musk buys more SolarCity stock following hedge fund manager short, BlackRock plans to get into rental-home financing[more]

    Hedge funds suddenly find real money is back in Argentina's debt From Bloomberg.com: The real money is back in Argentina. Before the country’s default in July 2014 (its second in 13 years), most long-term investors abandoned its bond market. As they rushed out, Argentina became a favorit

  2. Activist News - Carl Icahn has snapped up a huge stake in Freeport-McMoRan, and the stock is ripping, Meet Europe's best activist investor[more]

    Carl Icahn has snapped up a huge stake in Freeport-McMoRan, and the stock is ripping From Businessinsider.com: Carl Icahn has picked his next target: Freeport-McMoRan. Icahn and a group of other investors have snapped up an 8.46% stake in mining company Freeport-McMoRan, according to a j

  3. North America - Hedge fund manager Ray Dalio’s challenge to the Fed[more]

    From Newyorker.com: For some reason, Janet Yellen, the chair of the Federal Reserve, decided to skip this year’s annual Fed conference in Jackson Hole, where monetary policymakers from the United States and abroad get together with some prominent academics to discuss the big issues of the moment. Th

  4. Opalesque Exclusive: Credit-focused hedge fund Numen Capital expects more volatility in Europe in coming months[more]

    Benedicte Gravrand, Opalesque Geneva: A London-based hedge fund, which has just hired two emerging managers, is cautious on Europe. Vassilis Paschopoulos and former Lehman’s colleague Nikos Kargadouris, launched a London-based credit-focused hedge fund called

  5. Performance - Hedge funds bruised by stocks’ meltdown, Capstone’s volatility hedge fund is having a monster month thanks to market mayhem[more]

    Hedge funds bruised by stocks’ meltdown From WSJ.com: Hedge-fund managers like to promise their investors protection from market swings. In the recent stock swoon, many were caught off guard. Billionaire managers such as Leon Cooperman, Raymond Dalio and Daniel Loeb are deeply in the red

 

banner