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

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.

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Year of publication:	2009-09-28
Authors:	Beneki, Christina ; Eeckels, Bruno ; Leon, Costas

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Type of publication:	Book / Working Paper
Language:	English
Notes:	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.
Classification:	C53 - Forecasting and Other Model Applications ; E32 - Business Fluctuations; Cycles ; C14 - Semiparametric and Nonparametric Methods
Source:	BASE

Persistent link: https://www.econbiz.de/10015218906