Techniques for an iterative singular spectrum analysis are provided. In one technique, a first analysis, of time series data, is performed that results in a first reconstructed version of the time series data. The first analysis, of the time series data and a portion of the first reconstructed version, is then performed that results in a second reconstructed version of the time series data. Based on a termination condition, it is determined whether to perform the first analysis relative to a portion of a third reconstructed version of the time series data. A second analysis, of the time series data and a portion of a fourth reconstructed version of the time series data, is performed that results in a fifth reconstructed version of the time series data. The second analysis is different than the first analysis. A difference between the time series data and the fifth reconstructed version data is computed.