Singular spectrum analysis in python. Currently, SSA of 1d and 2d data is supported.
References:
- Golyandina, Nina, et al. "Multivariate and 2D extensions of singular spectrum analysis with the Rssa package." arXiv preprint arXiv:1309.5050 (2013).
- Korobeynikov, Anton. "Computation-and space-efficient implementation of SSA." arXiv preprint arXiv:0911.4498 (2009).
- Golyandina, N. E., and K. D. Usevich. "2D-extension of Singular Spectrum Analysis: algorithm and elements of theory." Matrix Methods: Theory, Algorithms and Applications: Dedicated to the Memory of Gene Golub. 2010. 449-473.