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.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Singular Spectrum Analysis; Singular Value Decomposition; Business Cycle Decomposition; Tourism Income; United Kingdom; Signal Extraction; Forecasting
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General

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