Rfssa: An R Package for Functional Singular Spectrum Analysis

Functional Singular Spectrum Analysis (FSSA) is a non-parametric approach for analyzing Functional Time Series (FTS) and Multivariate FTS (MFTS) data. This paper introduces Rfssa, an R package that addresses implementing FSSA for FTS and MFTS data types. Rfssa provides a flexible container, the funts class, for FTS/MFTS data observed on one-dimensional or multi-dimensional domains. It accepts arbitrary basis systems and offers powerful graphical tools for visualizing time-varying features and pattern changes. The package incorporates two forecasting algorithms for FTS data. Developed using object-oriented programming and Rcpp/RcppArmadillo, Rfssa ensures computational efficiency. The paper covers theoretical background, technical details, usage examples, and highlights potential applications of Rfssa.