RODESSA for Robust Multivariate Singular Spectrum Analysis
摘要
Multivariate Singular Spectrum Analysis (MSSA) is a powerful and widely used nonparametric method for multivariate time series. However, MSSA lacks robustness against outliers because it relies on the singular value decomposition, which is very sensitive to the presence of anomalous values. MSSA can then give biased results and lead to erroneous conclusions. In this paper, we present the method proposed by [2], named RObust Diagonalwise Estimation of SSA (RODESSA), which is robust against the presence of cellwise and casewise outliers. A real data example about temperature analysis in passenger railway vehicles demonstrates the practical utility of the proposed approach.