Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes

In this paper we propose a new methodology for selecting the window length in Singular Spectral Analysis in which the window length is determined from the data prior to the commencement of modeling. The selection procedure is based on statistical tests designed to test the convergence of the autocovariance function. A classical time series portmanteau type statistic and two test statistics derived using a conditional moment principle are considered. The first two are applicable to short-memory processes, and the third is applicable to both short- and long-memory processes. We derive the asymptotic distribution of the statistics under fairly general regularity conditions and show that the criteria will identify true convergence with a finite window length with probability one as the sample size increases. Results obtained using Monte-Carlo simulation indicate the relevance of the asymptotic theory, even in relatively small samples, and that the conditional moment tests will choose a window length consistent with the Whitney embedding theorem. Application to observations on the Southern Oscillation Index shows how observed experimental behaviour can be reflected in features seen with real world data sets.Portmanteau type test, Conditional moment test, Asymptotic distribution, Linear regular process, Singular spectrum analysis, Embedding

Description Length Based Signal Detection in singular Spectrum Analysis

This paper provides an information theoretic analysis of the signal-noise separation problem in Singular Spectrum Analysis. We present a signal-plus-noise model based on the Karhunen-Loève expansion and use this model to motivate the construction of a minimum description length criterion that can be employed to select both the window length and the signal. We show that under very general regularity conditions the criterion will identify the true signal dimension with probability one as the sample size increases, and will choose the smallest window length consistent with the Whitney embedding theorem. Empirical results obtained using simulated and real world data sets indicate that the asymptotic theory is reflected in observed behaviour, even in relatively small samples.Karhunen-Loève expansion, minimum description length, signal-plus-noise model, Singular Spectrum Analysis, embedding

The fractal distribution of haloes

We examine the proposal that a model of the large-scale matter distribution consisting of randomly placed haloes with power-law profile, as opposed to a fractal model, can account for the observed power-law galaxy-galaxy correlations. We conclude that such model, which can actually be considered as a degenerate multifractal model, is not realistic but suggests a new picture of multifractal models, namely, as sets of fractal distributions of haloes. We analyse, according to this picture, the properties of the matter distribution produced in cosmological N-body simulations, with affirmative results; namely, haloes of similar mass have a fractal distribution with a given dimension, which grows as the mass diminishes.Comment: 7 pages, 1 figure (3 EPS files), accepted in Europhysics Letter

Window Length Selection and Signal-Noise Separation and Reconstruction in Singular Spectrum Analysis

In Singular Spectrum Analysis (SSA) window length is a critical tuning parameter that must be assigned by the practitioner. This paper provides a theoretical analysis of signal-noise separation and reconstruction in SSA that can serve as a guide to optimal window choice. We establish numerical bounds on the mean squared reconstruction error and present their almost sure limits under very general regularity conditions on the underlying data generating mechanism. We also provide asymptotic bounds for the mean squared separation error. Evidence obtained using simulation experiments indicates that the theoretical properties are reflected in observed behaviour, even in relatively small samples, and the results indicate how an optimal choice for the window length can be made.Dimension, Embedding, Mean squared error, Reconstruction, Signal-noise separation, Window length.

Near Real-Time Data Labeling Using a Depth Sensor for EMG Based Prosthetic Arms

Recognizing sEMG (Surface Electromyography) signals belonging to a particular action (e.g., lateral arm raise) automatically is a challenging task as EMG signals themselves have a lot of variation even for the same action due to several factors. To overcome this issue, there should be a proper separation which indicates similar patterns repetitively for a particular action in raw signals. A repetitive pattern is not always matched because the same action can be carried out with different time duration. Thus, a depth sensor (Kinect) was used for pattern identification where three joint angles were recording continuously which is clearly separable for a particular action while recording sEMG signals. To Segment out a repetitive pattern in angle data, MDTW (Moving Dynamic Time Warping) approach is introduced. This technique is allowed to retrieve suspected motion of interest from raw signals. MDTW based on DTW algorithm, but it will be moving through the whole dataset in a pre-defined manner which is capable of picking up almost all the suspected segments inside a given dataset an optimal way. Elevated bicep curl and lateral arm raise movements are taken as motions of interest to show how the proposed technique can be employed to achieve auto identification and labelling. The full implementation is available at https://github.com/GPrathap/OpenBCIPytho

Detection and imaging in strongly backscattering randomly layered media

Abstract. Echoes from small reflectors buried in heavy clutter are weak and difficult to distinguish from the medium backscatter. Detection and imaging with sensor arrays in such media requires filtering out the unwanted backscatter and enhancing the echoes from the reflectors that we wish to locate. We consider a filtering and detection approach based on the singular value decomposition of the local cosine transform of the array response matrix. The algorithm is general and can be used for detection and imaging in heavy clutter, but its analysis depends on the model of the cluttered medium. This paper is concerned with the analysis of the algorithm in finely layered random media. We obtain a detailed characterization of the singular values of the transformed array response matrix and justify the systematic approach of the filtering algorithm for detecting and refining the time windows that contain the echoes that are useful in imaging

Estimation of muscular forces from SSA smoothed sEMG signals calibrated by inverse dynamics-based physiological static optimization

The estimation of muscular forces is useful in several areas such as biomedical or rehabilitation engineering. As muscular forces cannot be measured in vivo non-invasively they must be estimated by using indirect measurements such as surface electromyography (sEMG) signals or by means of inverse dynamic (ID) analyses. This paper proposes an approach to estimate muscular forces based on both of them. The main idea is to tune a gain matrix so as to compute muscular forces from sEMG signals. To do so, a curve fitting process based on least-squares is carried out. The input is the sEMG signal filtered using singular spectrum analysis technique. The output corresponds to the muscular force estimated by the ID analysis of the recorded task, a dumbbell weightlifting. Once the model parameters are tuned, it is possible to obtain an estimation of muscular forces based on sEMG signal. This procedure might be used to predict muscular forces in vivo outside the space limitations of the gait analysis laboratory.Postprint (published version

Basic Singular Spectrum Analysis and Forecasting with R

Singular Spectrum Analysis (SSA) as a tool for analysis and forecasting of time series is considered. The main features of the Rssa package, which implements the SSA algorithms and methodology in R, are described and examples of its use are presented. Analysis, forecasting and parameter estimation are demonstrated by means of case study with an accompanying code in R

Timescale effect estimation in time-series studies of air pollution and health: A Singular Spectrum Analysis approach

A wealth of epidemiological data suggests an association between mortality/morbidity from pulmonary and cardiovascular adverse events and air pollution, but uncertainty remains as to the extent implied by those associations although the abundance of the data. In this paper we describe an SSA (Singular Spectrum Analysis) based approach in order to decompose the time-series of particulate matter concentration into a set of exposure variables, each one representing a different timescale. We implement our methodology to investigate both acute and long-term effects of $PM_{10}$ exposure on morbidity from respiratory causes within the urban area of Bari, Italy.Comment: Published in at http://dx.doi.org/10.1214/07-EJS123 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics (http://www.imstat.org