Machine Learning Methods in the
Neural Network and Kernels
Analyze the data
file (Ex3_4_spec) in Matlab format or text format using Fourier spectral analysis.
(a) Compute the autospectrum for the time series x1
(with the time series t giving the time of the observation in
days). (b) Compute the autospectrum for time series
x2, and compare with that in (a).
Using the same time series x1 and x2
from Exercise 3.4, perform singular spectrum analysis (SSA) on (a)
x1 and (b) x2, with the time series
lagged by an extra 50 days in SSA (so that there is a total of 51 time
series). Briefly discuss the difference between the SSA result and the
Fourier spectral result in Exercise 3.4 -- in particular, which method is
more efficient in capturing the variance?
William W. Hsieh