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Computation- and space-efficient implementation of SSA
2010
Statistics and its Interface
The computational complexity of different steps of the Basic SSA is discussed. It is shown that the use of the general-purpose "blackbox" routines which can be found in packages like LAPACK leads to a huge waste of time since the Hankel structure of the trajectory matrix is not taken into account. We outline several state-of-the-art algorithms including the Lanczos-based truncated Singular Value Decomposition (SVD) which can be modified to exploit the structure of the trajectory matrix. The key
doi:10.4310/sii.2010.v3.n3.a9
fatcat:34nojpwakjgqvbrzc7suagfi7e