Minimal numpy realization of Multivariate Singular Spectrum Analysis algorithm.
Main functions:
- Time Series decomposition for components.
- Recurrent forecasting algorithm.
The using tutorial is given in the jupyter notebook with corresponding name.
Data: data folder includes 2 datasets:
- AirPassengers dataset
- Artificial dataset
Result example:
| Example of forecast on Air Passengers | Zoom |
|---|---|
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