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ssa.m
代碼片段和文件信息
function?[drvr]=ssa(x1L)
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%?-----------------------------------------------------------------???????????????????????????
%????Author:?Francisco?Javier?Alonso?Sanchez????e-mail:fjas@unex.es
%????Departament?of?Electronics?and?Electromecanical?Engineering
%????Industrial?Engineering?School
%????University?of?Extremadura
%????Badajoz
%????Spain
%?-----------------------------------------------------------------
%
%?SSA?generates?a?trayectory?matrix?X?from?the?original?series?x1
%?by?sliding?a?window?of?length?L.?The?trayectory?matrix?is?aproximated?
%?using?Singular?Value?Decomposition.?The?last?step?reconstructs
%?the?series?from?the?aproximated?trayectory?matrix.?The?SSA?applications
%?include?smoothing?filtering?and?trend?extraction.
%?The?algorithm?used?is?described?in?detail?in:?Golyandina?N.?Nekrutkin?
%?V.?Zhigljavsky?A.?2001.?Analisys?of?Time?Series?Structure?-?SSA?and?
%?Related?Techniques.?Chapman?&?Hall/CR.
%?x1?Original?time?series?(column?vector?form)
%?L??Window?length
%?y??Reconstructed?time?series?重構時間序列
%?r??Residual?time?series?r=x1-y?剩余時間序列
%?vr?Relative?value?of?the?norm?of?the?approximated?trajectory?matrix?with?respect
% ??to?the?original?trajectory?matrix?相對于原始軌跡矩陣的近似軌道矩陣范數的相對值
%?The?program?output?is?the?Singular?Spectrum?of?x1?(must?be?a?column?vector)
%?using?a?window?length?L.?You?must?choose?the?components?be?used?to?reconstruct?
%the?series?in?the?form?[i1i2:ik...iL]?based?on?the?Singular?Spectrum?appearance.
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