JuliaDynamics
Multivariate Singular Spectrum Analysis in DelayEmbeddings
@Datseris I am following your progress with DelayEmbedding and all. Can I suggest that you also bring Broomhead and King and Multivariate Singular Spectral Analysis into the Embedding methods as it deals nicely with noise and rank with respect to other embedding methods (http://www.spectraworks.com/Help/mssatheory.html). There is almost nothing on MSSA in julia. Some tutorials in Matlab are available here: https://www.mathworks.com/matlabcentral/fileexchange/58968-multichannel-singular-spectrum-analysis-beginners-guide and you have the setup already in place. ToeplitzMatrices.jl and BlockSparseMatrices.jl could be of help.
An obvious extension to reconstruct is to also include MSSA.
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