The “Caterpillar”-SSA method for analysis of time series with missing values

The paper concerns the problem of applying singular spectrum analysis to time series with missing data. A method of filling in the missing data is proposed and is applied to time series of finite rank. Conditions of exact reconstruction of missing data are developed and versions of the algorithm applicable to real-life time series are presented. The proposed algorithms result in the extraction of additive components of time series such as trends and periodic components, with simultaneous filling in of the missing data. An example is presented.