Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach
AbstractWe present and apply the Singular Spectrum Analysis (SSA), a relatively new, non-parametric and data-driven method used for signal extraction (trends, seasonal and business cycle components) and forecasting of the UK tourism income. Our results show that SSA outperforms slightly SARIMA and time-varying parameter State Space Models in terms of RMSE, MAE and MAPE forecasting criteria.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.
Volume (Year): 31 (2012)
Issue (Month): 5 (08)
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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966
Other versions of this item:
- Beneki, Christina & Eeckels, Bruno & Leon, Costas, 2009. "Signal Extraction and Forecasting of the UK Tourism Income Time Series. A Singular Spectrum Analysis Approach," MPRA Paper 18354, University Library of Munich, Germany.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hassani, Hossein, 2007. "Singular Spectrum Analysis: Methodology and Comparison," MPRA Paper 4991, University Library of Munich, Germany.
- Leon, Costas & Eeckels, Bruno, 2009. "A Dynamic Correlation Approach of the Swiss Tourism Income," MPRA Paper 15215, University Library of Munich, Germany.
- repec:rdg:wpaper:em-dp2013-04 is not listed on IDEAS
- Dimitrios Thomakos & Hossein Hassani & Kerry Patterson, 2013. "Optimal Linear Filtering, Smoothing and Trend Extraction for the m-th Differences of a Unit Root Process: A Singular Spectrum Analysis Approach," Economics & Management Discussion Papers em-dp2013-04, Henley Business School, Reading University.
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