Multivariate and 2D extensions of singular spectrum analysis with the Rssa package

Implementation of multivariate and 2d extensions of singular spectrum analysis (ssa) by means of the r package rssa is considered. the extensions include mssa for simultaneous analysis and forecasting of several time series and 2d-ssa for analysis of digital images. a new extension of 2d-ssa analysis called shaped 2d-ssa is introduced for analysis of images of arbitrary shape,not necessary rectangular. it is shown that implementation of shaped 2d-ssa can serve as a basis for implementation of mssa and other generalizations. efficient implementation of operations with hankel and hankel-block- hankel matrices through the fast fourier transform is suggested. examples with code fragments in r,which explain the methodology and demonstrate the proper use of rssa,are presented. © 2015,american statistical association. all rights reserved.