- 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...
Expand abstract - Publication status:
- Published
- Publisher copy:
- 10.1016/S0375-9601(97)00559-8
-
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- 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
- Copyright date:
- 1997
Journal article
Optimal filtering in singular spectrum analysis
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