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Quant's Toolbox and Ideas

Quant's Toolbox and Ideas

Free SSA software Windows GUI and Matlab package

JohnLast
By JohnLast 4712 days ago Comments (1)
http://www.pdmi.ras.ru/~theo/autossa/english/soft.htm

This is the free SSA software from Theodor Alexandrov.

There is another software which has both paid and a free version. The free version unfortunately does not run on 64 bits computers. This is the Caterpillar software from GistaT Group.

Of course this piece of software is not end - pointed, so it recalculates when new data arrive. 

 

 

Comments

  • JohnLast
    JohnLast 4670 days ago

    I contacted Theodore Alexandrov yesterday because the feature to predict series does not work in his software.

    He answered me that it is disabled and I have two options to make my own implementation with the provided Matlab Code or to go for the paid version.

    You can find here the paid version. 

    As for me I thaught that it was a completely different software and as in the help instructions it was precised that this option was there I thaught I was doing something wrong. 

     

    Signal forecasting
    -----------------------------------------------------------------------

     

    Once a signal is extracted, it can be forecasted. The forecast in the
    framework of Caterpillar-SSA is performed in several steps:
    1. identification of SVD components which correspond to a signal;
    2. signal reconstruction;
    3. finding the linear recurrent formula (LRF) corresponding to
    the signal;
    4. prolongation of the signal using this LRF, where the LRF is
    applied to the last points of the signal.