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Signal Extraction andForecasting of the UKTourism Income TimeSeries: A SingularSpectrum AnalysisApproach Christina BenekiBruno EeckelsCostas Leon2011 год

Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach
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Аннотация: ABSTRACT We present and apply singular spectrum analysis (SSA), a relatively new, non‐parametric and data‐driven method for signal extraction (trends, seasonal and business cycle components) and forecasting of UK tourism income. Our results show that SSA slightly outperforms SARIMA and time‐varying‐parameter state space models in terms of root mean square error, mean absolute error and mean absolute percentage error forecasting criteria. Copyright © 2011 John Wiley & Sons, Ltd.
Год издания: 2011
Авторы: Christina Beneki, Bruno Eeckels, Costas Leon
Издательство: Wiley
Источник: Journal of Forecasting
Ключевые слова: Statistical and numerical algorithms
Другие ссылки: Journal of Forecasting (HTML)
RePEc: Research Papers in Economics (HTML)