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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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 |
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Original Title: | Signal Extraction and Forecasting of the UK Tourism Income Time Series. A Singular Spectrum Analysis Approach |
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 |
Item ID: | 18354 |
Depositing User: | Costas Leon |
Date Deposited: | 04 Nov 2009 18:56 |
Last Modified: | 26 Sep 2019 09:31 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/18354 |