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In this work, we develop multivariate functional singular spectrum analysis(MFSSA) over different dimensional domains which is the functional extension ofmultivariate singular spectrum analysis (MSSA). In the following, we provideall of the necessary theoretical details supporting the work as well as theimplementation strategy that contains the recipes needed for the algorithm. Weprovide a simulation study showcasing the better performance in reconstructionaccuracy of a multivariate functional time series (MFTS) signal found usingMFSSA as compared to other approaches and we give a real data study showing howMFSSA enriches analysis using intraday temperature curves and remote sensingimages of vegetation. MFSSA is available for use through the Rfssa R package.

Multivariate Functional Singular Spectrum Analysis Over Different Dimensional Domains