Applying Singular Spectrum Analysis to Climate Data Using SAS/ETS Software

• Activity Number: 334
• Type: Topic Contributed
• Date/Time: Tuesday, August 3, 2010 : 10:30 AM to 12:20 PM
• Sponsor: Business and Economic Statistics Section
• Author(s): Bruce Elsheimer*+ and Michael Leonard and Marc Kessler
• Companies: SAS Institute and SAS Institute and SAS Institute
• Keywords: time series analysis ; time series decomposition ; singular spectrum analysis

Abstract

Singular spectrum analysis (SSA) is a relatively new approach to modeling time series data. The SSA method of time series analysis applies nonparametric techniques to decompose time series into principal components. SSA is particularly valuable for long time series, for which patterns (such as trends and cycles) are difficult to visualize and analyze. This talk provides an introduction to singular spectrum analysis and demonstrates the use of SAS/ETS software to perform SSA. As an illustration, monthly data on U.S. temperatures over the last century are analyzed to discover significant patterns.