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Optimal filtering in singular spectrum analysis

Abstract:

Singular spectrum analysis (SSA) provides a robust method of separating an arbitrary signal from "white" (independent, identically distributed) noise. In the presence of "coloured" noise, or any autocorrelated process, high-variance components of the noise can confuse the singular value decomposition, thereby obscuring genuine signals which are, in principle, detectable. A generalization of SSA is presented which yields both an optimal filter to discriminate against an arbitrary coloured nois...

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Publication status:
Published

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Institution:
University of Oxford
Department:
Oxford, MPLS, Physics, Atmos Ocean and Planet Physics, Geography
Role:
Author
Journal:
PHYSICS LETTERS A
Volume:
234
Issue:
6
Pages:
419-428
Publication date:
1997-10-13
DOI:
ISSN:
0375-9601
URN:
uuid:9f71c9ee-359f-4460-9229-6260ddc63b56
Source identifiers:
13752
Local pid:
pubs:13752
Language:
English

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