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Singular Spectrum Analysis: Methodology and Comparison

Author

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  • Hassani, Hossein

Abstract

In recent years Singular Spectrum Analysis (SSA), used as a powerful technique in time series analysis, has been developed and applied to many practical problems. In this paper, the performance of the SSA technique has been considered by applying it to a well-known time series data set, namely, monthly accidental deaths in the USA. The results are compared with those obtained using Box-Jenkins SARIMA models, the ARAR algorithm and the Holt-Winter algorithm (as described in Brockwell and Davis (2002)). The results show that the SSA technique gives a much more accurate forecast than the other methods indicated above.

Suggested Citation

  • Hassani, Hossein, 2007. "Singular Spectrum Analysis: Methodology and Comparison," MPRA Paper 4991, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:4991
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    File URL: https://mpra.ub.uni-muenchen.de/4991/2/MPRA_paper_4991.pdf
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    More about this item

    Keywords

    ARAR algorithm; Box-Jenkins SARIMA models; Holt-Winter algorithm; singular spectrum analysis (SSA); USA monthly accidental deaths series;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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