EXSSA: SSA-based reconstruction of time series via exponential smoothing of covariance eigenvalues
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- António Rua & Hossein Hassani & Emmanuel Sirimal Silva & Dimitrios Thomakos, 2019. "Monthly Forecasting of GDP with Mixed Frequency Multivariate Singular Spectrum Analysis," Working Papers w201913, Banco de Portugal, Economics and Research Department.
- repec:eee:intfor:v:34:y:2018:i:4:p:582-597 is not listed on IDEAS
More about this item
KeywordsCovariance decomposition; Eigenvalues; Forecasting; Gross domestic product; Income; Producer price index; Singular spectrum analysis; Smoothing; Trajectory matrix;
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