Application of the Non-Hermitian Singular Spectrum Analysis to the Exponential Retrieval Problem
Application of the Non-Hermitian Singular Spectrum Analysis to the Exponential Retrieval Problem
We present a new approach to solve the exponential retrieval problem. We derive a stable technique, based on the singular value decomposition (SVD) of lag-covariance and crosscovariance matrices consisting of covariance coefficients computed for index translated copies of an initial time series. For these matrices a generalized eigenvalue problem is …