SST parameters
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katkaf commented
Hello,
can you please provide details on SingularSpectrumTransformation's parameters? Is there some recommendations how to choose win_length, order, lag? What does 'order' signify?
E.g. in "Change-Point Detection in Time-Series Data based on Subspace Identification by
Yoshinobu Kawahara, Takehisa Yairi, and Kazuo Machida, http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.76.6340&rep=rep1&type=pdf
parameters for experiment in 5.1 were selected as tau=150, k=8, N=150, N=80 and n=2. How should I set up parameters in your function when I want to re-make given experiment?
Thank you.