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Engineering Proceedings
Volume 68
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10.3390/engproc2024068020
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Proceeding Paper

Extraction and Forecasting of Trends in Cases of Signal Rank Overestimation †

by
Nina Golyandina
* and
Pavel Dudnik
Faculty of Mathematics and Mechanics, St.Petersburg State University, Universitetskaya nab. 7/9, 199034 St. Petersburg, Russia
*
Author to whom correspondence should be addressed.
†
Presented at the 10th International Conference on Time Series and Forecasting, Gran Canaria, Spain, 15–17 July 2024.
Eng. Proc. 2024, 68(1), 20; https://doi.org/10.3390/engproc2024068020
Published: 5 July 2024
(This article belongs to the Proceedings of The 10th International Conference on Time Series and Forecasting)
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Abstract

Singular spectrum analysis allows automation for the extraction of trends of arbitrary shapes. Here, we study how the estimation of signal ranks influences the accuracy of trend extraction and forecasting. It is numerically shown that the trend estimates and their forecasting are slightly changed if the signal rank is overestimated. If the trend is not of finite rank, the trend estimates are still stable, while forecasting may be unstable. The method of automation of the trend extraction includes an important step for improving the separability of time series components to avoid their mixture. However, the better the separability improvement, the larger the forecasting variability, since the noise components become separated and can be similar to trend ones.
Keywords: time series; singular spectrum analysis; signal; rank; trend; identification; forecasting time series; singular spectrum analysis; signal; rank; trend; identification; forecasting

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MDPI and ACS Style

Golyandina, N.; Dudnik, P. Extraction and Forecasting of Trends in Cases of Signal Rank Overestimation. Eng. Proc. 2024, 68, 20. https://doi.org/10.3390/engproc2024068020

AMA Style

Golyandina N, Dudnik P. Extraction and Forecasting of Trends in Cases of Signal Rank Overestimation. Engineering Proceedings. 2024; 68(1):20. https://doi.org/10.3390/engproc2024068020

Chicago/Turabian Style

Golyandina, Nina, and Pavel Dudnik. 2024. "Extraction and Forecasting of Trends in Cases of Signal Rank Overestimation" Engineering Proceedings 68, no. 1: 20. https://doi.org/10.3390/engproc2024068020

APA Style

Golyandina, N., & Dudnik, P. (2024). Extraction and Forecasting of Trends in Cases of Signal Rank Overestimation. Engineering Proceedings, 68(1), 20. https://doi.org/10.3390/engproc2024068020

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