Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Circulant Singular Spectrum Analysis: A new automated procedure for
  signal extraction   Sometimes, it is of interest to single out the fluctuations associated to a
given frequency. We propose a new variant of SSA, Circulant SSA (CiSSA), that
allows to extract the signal associated to any frequency specified beforehand.
This is a novelty when compared with other procedures that need to identify
ex-post the frequencies associated to extracted signals. We prove that CiSSA is
asymptotically equivalent to these alternative procedures although with the
advantage of avoiding the need of the subsequent frequency identification. We
check its good performance and compare it to alternative SSA methods through
several simulations for linear and nonlinear time series. We also prove its
validity in the nonstationary case. To show how it works with real data, we
apply CiSSA to extract the business cycle and deseasonalize the Industrial
Production Index of six countries. Economists follow this indicator in order to
assess the state of the economy in real time. We find that the estimated cycles
match the dated recessions from the OECD showing its reliability for business
cycle analysis. Finally, we analyze the strong separability of the estimated
components. In particular, we check that the deseasonalized time series do not
show any evidence of residual seasonality.

21
The categories of this paper are: adap-org
35
The categories of this paper are: mtrl-th
10
The categories of this paper are: q-bio
27
The categories of this paper are: comp-gas
6
The categories of this paper are: astro-ph
17
The categories of this paper are: q-fin
18
The categories of this paper are: econ
9
The categories of this paper are: nlin
22
The categories of this paper are: chao-dyn
20
The categories of this paper are: acc-phys
23
The categories of this paper are: solv-int
11
The categories of this paper are: hep-lat
15
The categories of this paper are: nucl-ex
36
The categories of this paper are: cmp-lg
24
The categories of this paper are: dg-ga
7
The categories of this paper are: hep-th