From perusing the Wikipedia page, this technique looks straightforward to implement using the linear algebra tools available. It seems like having a good SVD implementation is the main difficulty – which we do. Perhaps there are subtleties which aren't captured there but I suspect an R or Python implementation could be ported in less than an hour.
> On Apr 8, 2014, at 9:49 AM, Fabian Gans <fabiang...@gmail.com> wrote: > > Hi all, > > has anyone implemented an SSA algorithm in julia or wrapped a library for it? > I could not find anything in the available packages and wanted to make sure I > didn't miss it. If not I will stick to R for this 😫. See here > http://en.wikipedia.org/wiki/Singular_spectrum_analysis for a description of > the algorithm. > > Cheers > Fabian
