Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach
We 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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Volume (Year): 31 (2012)
Issue (Month): 5 (08)
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- 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.
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