Singular Spectrum Analysis for Time Series by Nina Golyandina & Anatoly Zhigljavsky

Author:Nina Golyandina & Anatoly Zhigljavsky
Language: eng
Format: epub
Publisher: Springer Berlin Heidelberg, Berlin, Heidelberg

Sometimes the centering of the series may be very useful. As an example, consider the series ‘S&P500’, the free-float capitalization-weighted index of the prices of 500 large-cap common stocks actively traded in the United States. Its trend has complex form. However, in the timeframe of 1.5 year the trend of the centered series can be approximated by a sinusoid. The resultant trends are depicted in Fig. 2.28 together with the initial series. The first trend is extracted from the initial series by ET1–3 (the bold line), the second trend is extracted from the centered series by ET1–2 (the line with black dots), . The former trend is more detailed, while the latter one is more stable.

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