How to know which decomposition algorithm was applied (trenddecomp ())

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Ikenna
Ikenna 2023-8-7
评论： Star Strider 2023-8-7
Hello everyone
In using the trenddecomp() function, we are meant to understand that there are possibly two algorithm that will be used to decompose the raw time series (data):
  1. Singular Spectrum Analysis (SSA)
  2. Loess Seasnal-Trend Decomposition (STL).
However in the following matlab documentation (below) of the function trenddecomp(), there is no indication of which of the two probable algorithm will be applied to decompose the data:
"[LT,ST,R] = trenddecomp(___) also returns the seasonal trends and the remainder from the decomposition. The lengths of ST and R match the length of the input vector A. When A contains multiple seasonal trends, ST is a matrix whose columns contain each seasonal trend."
If i want to decompose my data based on the above function style, how do I know which of the algorithm was applied.
Below is the variant of code I intend using
[LT,ST,R] = trenddecomp(data,"NumSeasonal",2);

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回答（1 个）

Star Strider
Star Strider 2023-8-7
As I read the trenddecomp documentation, ‘SSA’ appears to be the default. It would be necessary to specifically choose ‘STL’ with its appropriate period argument. (It would be nice if some sort of illumination were added to the documentatioon in this regard.)
  2 个评论
Steven Lord
Steven Lord 2023-8-7
The 1-input syntax in the Description section states "LT = trenddecomp(A) finds trends in a vector of data using singular spectrum analysis (SSA), which assumes an additive decomposition of the data such that A = LT+ST+R" which seems pretty clear to me that if you don't specify which algorithm to use (for which there are separate syntaxes listed in the Description section) it uses "ssa".
What type of "illumination" were you expecting or hoping to see on that documentation page? The trenddecomp function accepts no name-value arguments and so there is no name-value argument subsection in the Input Arguments section of the documentation page (which is where an argument like 'algorithm' with values "ssa" and "stl" would be found if it existed.) Instead if specified the algorithm is always the second input.
Star Strider
Star Strider 2023-8-7
The ‘illumination’ would be a simple discussion, such as you just provided here. I doubet much more would be necessary.

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