Munich Personal RePEc Archive

Signal Extraction and Forecasting of the UK Tourism Income Time Series. A Singular Spectrum Analysis Approach

Beneki, Christina and Eeckels, Bruno and Leon, Costas (2009): Signal Extraction and Forecasting of the UK Tourism Income Time Series. A Singular Spectrum Analysis Approach.

[img]
Preview
PDF
MPRA_paper_18354.pdf

Download (241kB) | Preview

Abstract

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.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.