Before revision: We introduce Multivariate Circulant Singular Spectrum Analysis (M-CiSSA) , a non-parametric automated technique to extract signals at different frequencies.
After revision: We introduce Multivariate Circulant Singular Spectrum Analysis (M-CiSSA) to solve in a unified way a problem of primary interest for data scientists: to extract the underlying components of a set of time series disentangling their sources of variation and assessing their relative phase or cyclical position at each frequency. Our novel method is non-parametric automated technique to extract signals at different frequencies.