资源简介
ssa.m
代码片段和文件信息
function [drvr]=ssa(x1L)
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% -----------------------------------------------------------------
% Author: Francisco Javier Alonso Sanchez e-mail:fjas@unex.es
% Departament of Electronics and Electromecanical Engineering
% Industrial Engineering School
% University of Extremadura
% Badajoz
% Spain
% -----------------------------------------------------------------
%
% SSA generates a trayectory matrix X from the original series x1
% by sliding a window of length L. The trayectory matrix is aproximated
% using Singular Value Decomposition. The last step reconstructs
% the series from the aproximated trayectory matrix. The SSA applications
% include smoothing filtering and trend extraction.
% The algorithm used is described in detail in: Golyandina N. Nekrutkin
% V. Zhigljavsky A. 2001. Analisys of Time Series Structure - SSA and
% Related Techniques. Chapman & Hall/CR.
% x1 Original time series (column vector form)
% L Window length
% y Reconstructed time series 重构时间序列
% r Residual time series r=x1-y 剩余时间序列
% vr Relative value of the norm of the approximated trajectory matrix with respect
% to the original trajectory matrix 相对于原始轨迹矩阵的近似轨道矩阵范数的相对值
% The program output is the Singular Spectrum of x1 (must be a column vector)
% using a window length L. You must choose the components be used to reconstruct
%the series in the form [i1i2:ik...iL] based on the Singular Spectrum appearance.
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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