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

被引：44
|
作者：
Beneki, Christina [1 ]
Eeckels, Bruno
Leon, Costas [2 ]
机构：
[1] Technol Educ Inst Ionian Isl, Dept Business Adm, Lixouri 28200, Kefallinia, Greece
[2] DCT Univ Ctr, Vitznau, Switzerland
来源：
JOURNAL OF FORECASTING | 2012年 / 31卷 / 05期
关键词：
singular spectrum analysis; singular value decomposition; business cycle decomposition; tourism income; signal extraction; forecasting; DYNAMICS;
D O I：
10.1002/for.1220
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We present and apply singular spectrum analysis (SSA), a relatively new, non-parametric and data-driven method for signal extraction (trends, seasonal and business cycle components) and forecasting of UK tourism income. Our results show that SSA slightly outperforms SARIMA and time-varying-parameter state space models in terms of root mean square error, mean absolute error and mean absolute percentage error forecasting criteria. Copyright (c) 2011 John Wiley & Sons, Ltd.
引用
收藏
页码：391 / 400
页数：10
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