Multivariate singular spectrum analysis for forecasting revisions to real-time data
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References listed on IDEAS
- Alastair Cunningham & Jana Eklund & Chris Jeffery & George Kapetanios & Vincent Labhard, 2009.
"A State Space Approach to Extracting the Signal From Uncertain Data,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, vol. 30(2), pages 173-180, March.
- Alastair Cunningham & Jana Eklund & Christopher Jeffery & George Kapetanios & Vincent Labhard, 2007. "A state space approach to extracting the signal from uncertain data," Bank of England working papers 336, Bank of England.
- Alastair Cunningham & Jana Eklund & Chris Jeffery & George Kapetanios & Vincent Labhard, 2009. "A State Space Approach to Extracting the Signal from Uncertain Data," Working Papers 637, Queen Mary University of London, School of Economics and Finance.
- Dean Croushore, 2011. "Frontiers of Real-Time Data Analysis," Journal of Economic Literature, American Economic Association, vol. 49(1), pages 72-100, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- de Carvalho, Miguel & Rua, António, 2017.
"Real-time nowcasting the US output gap: Singular spectrum analysis at work,"
International Journal of Forecasting,
Elsevier, vol. 33(1), pages 185-198.
- Miguel de Carvalho & António Rua, 2014. "Real-time nowcasting the US output gap: Singular spectrum analysis at work," Working Papers w201416, Banco de Portugal, Economics and Research Department.
- Donya Rahmani & Saeed Heravi & Hossein Hassani & Mansi Ghodsi, 2016. "Forecasting time series with structural breaks with Singular Spectrum Analysis, using a general form of recurrent formula," Papers 1605.02188, arXiv.org.
- Moody Chu & Matthew Lin & Liqi Wang, 2014. "A study of singular spectrum analysis with global optimization techniques," Journal of Global Optimization, Springer, vol. 60(3), pages 551-574, November.
- Stephen McKnight & Alexander Mihailov & Kerry Patterson & Fabio Rumler, 2014. "The Predictive Performance of Fundamental Inflation Concepts: An Application to the Euro Area and the United States," Economics & Management Discussion Papers em-dp2014-03, Henley Business School, Reading University.
More about this item
Keywordsnon-parametric methods; data revisions; trajectory matrix; reconstruction; Hankelisation; recurrence formula; forecasting;
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