The TIMESERIES Procedure

Example 33.5 Illustration of Singular Spectrum Analysis

This example illustrates the use of singular spectrum analysis.

The following statements extract two additive components from the SASHELP.AIR time series by using the THRESHOLDPCT= option to specify that the first component represent 80% of the variability in the series. The resulting groupings, consisting of the first three and remaining nine singular value components, are presented in Output 33.5.1 through Output 33.5.3.

title "SSA of AIR data";

proc timeseries data=sashelp.air plot=ssa;
   id date interval=month;
   var air;
   ssa / length=12 THRESHOLDPCT=80;

Output 33.5.1: Singular Value Grouping #1 Plot

Singular Value Grouping 1 Plot

Output 33.5.2: Singular Value Grouping #2 Plot

Singular Value Grouping 2 Plot

Output 33.5.3: Singular Value Components Plot

Singular Value Components Plot