Singular Spectrum Analysis Method as a universal filter

An application of Singular Spectrum Analysis(SSA) Method, based on a new elaborated tensorial approach of computation of singular values and left and right singular vectors of arbitrary non-square matrices, for time series is presented. All necessary calculations of singular values and both types (left and right) singular vectors are performed on the base of elaborated tensorial approach. It is showed that non parametric SSA can be efficiently used as a universal filter to separate Low and High frequencies components in long signals and time series.