The TIMESERIES Procedure

Example 32.5 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 32.5.1 through Output 32.5.3. 

title "SSA of AIR data";

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

Output 32.5.1: Singular Value Grouping #1 Plot

Singular Value Grouping 1 Plot


Output 32.5.2: Singular Value Grouping #2 Plot

Singular Value Grouping 2 Plot


Output 32.5.3: Singular Value Components Plot

Singular Value Components Plot