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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 18354.
Date of creation: 28 Sep 2009
Date of revision:
Singular Spectrum Analysis; Singular Value Decomposition; Business Cycle Decomposition; Tourism Income; United Kingdom; Signal Extraction; Forecasting;
Other versions of this item:
- Christina Beneki & Bruno Eeckels & Costas Leon, 2012. "Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(5), pages 391-400, 08.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-07 (All new papers)
- NEP-ECM-2009-11-07 (Econometrics)
- NEP-FOR-2009-11-07 (Forecasting)
- NEP-TUR-2009-11-07 (Tourism Economics)
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.:
- Leon, Costas & Eeckels, Bruno, 2009. "A Dynamic Correlation Approach of the Swiss Tourism Income," MPRA Paper 15215, University Library of Munich, Germany.
- Hassani, Hossein, 2007. "Singular Spectrum Analysis: Methodology and Comparison," MPRA Paper 4991, University Library of Munich, Germany.
- 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.
- repec:rdg:wpaper:em-dp2013-04 is not listed on IDEAS
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