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baggepinnen committed Apr 2, 2021
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2 changes: 1 addition & 1 deletion README.md
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A package for performing Singular Spectrum Analysis (SSA) https://en.wikipedia.org/wiki/Singular_spectrum_analysis

## Simple Usage
The example below creates a simulated signal that has two strong seasonal components. The main entry function is `analyze(y,L)` that returns the trend and seasonal components. `y` is the signal to decompose and `L` is a window length to use for the internal embedding (this should be as long as the longest expected period).
The example below creates a simulated signal that has two strong seasonal components. The main entry function is `analyze(y,L)` that returns the trend and seasonal components. `y` is the signal to decompose and `L` is a window length to use for the internal embedding.
```julia
using SingularSpectrumAnalysis, Plots
# generate some data
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5 changes: 2 additions & 3 deletions src/SingularSpectrumAnalysis.jl
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"""
F = esprit(x, L, r; fs = T(1), robust = false)
Estimate `r` (positive) frequencies present in signal `x` using a lag-correlation matrix of size `L`. If the signal is real, `2r` components are returned.
Estimate `r` (positive) frequencies present in signal `x` using a lag-correlation matrix of size `L`.
R. Roy and T. Kailath, "ESPRIT-estimation of signal parameters via rotational invariance techniques," in IEEE Transactions on Acoustics, Speech, and Signal Processing, vol. 37, no. 7, pp. 984-995, Jul 1989.
# Arguments:
- `x`: Signal
- `L`: Size of lag embedding and the covariance matrix used.
- `r`: number of frequencies to estimate. If the signal is real, the number of components will be `2r`
- `r`: number of frequencies to estimate. If the signal is real, the number of internally estimated components will be `2r`, but only `r` components are returned due to symmetry.
- `fs`: Sampling frequency
- `robust`: Whether or not to use a robust decomposition resistant to outliers.
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