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.
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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|
|Original Title:||Signal Extraction and Forecasting of the UK Tourism Income Time Series. A Singular Spectrum Analysis Approach|
|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
|Depositing User:||Costas Leon|
|Date Deposited:||04. Nov 2009 18:56|
|Last Modified:||22. Mar 2014 10:14|
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