# SAMoSSA:  Multivariate Singular Spectrum Analysis with Stochastic Autoregressive Noise
## Replicating experiment results

### Model estimation results

The estimation error results in Section 5.1 were generated in `model_est_exp.ipynb`. It  runs the simulations and generates the plots in the paper.

### Forecasting results

The forecasting results in Section 5.2 were generated by running `scripts/experiment.py`. For example, to test SAMoSSA on the synthetic dataset, one would run `python scripts/experiment.py synthetic SAMoSSA`. The model options include `"SAMoSSA"`, `"mSSA"`, `"Prophet"`, and `"ARIMA"`. The dataset options include `"traffic"`, `"electricity"`, `"exchange"` and `"synthetic"`. The mean $R^2$ score is printed at the end of the script, and predictions and metadata are stored in timestamped pickle files in `results/`.