pySSA

Singular Spectrum Analysis for time series forecasting in Python

An example of the implementation of this code can be found in Singular Spectrum Analysis Example.ipynb.

I will update the list of references/credits at another time. The research of Nina Golyandina from Russia was invaluable in aiding my understanding of this method.

[update 4 April 2017] - Please note that the current version requires a pandas dataframe with a datetime formatted index for it to work. I will push an update soon to allow numpy array inputs.

Please feel free to fork the project and contribute!