Difference-based Methods for Truncating the Singular Value Decomposition

Abstract

Given a noisy time series (or signal), one may wish to remove the noise from the observed series. Assuming that the noise-free series lies in some low-dimensional subspace of rank r, a common approach is to embed the noisy time series into a Hankel trajectory matrix. The singular value decomposition is then used to deconstruct the Hankel matrix into a sum of rank-one components. We wish to demonstrate that there may be some potential in using difference-based methods of the observed series in order to provide guidance regarding the separation of the noise from the signal, and to estimate the rank of the low-dimensional subspace in which the true signal is assumed to lie.

Keywords:

• Difference-based methods
• Singular value decomposition
• Time series analysis

Mathematics Subject Classification:

• Primary 62M10
• Secondary 15A18