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Research Article

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

  1. Christina Beneki1,*,
  2. Bruno Eeckels2,
  3. Costas Leon3

Article first published online: 9 MAR 2011

DOI: 10.1002/for.1220

Issue

Journal of Forecasting

Journal of Forecasting

Volume 31, Issue 5, pages 391–400, August 2012

Additional Information

How to Cite

Beneki, C., Eeckels, B. and Leon, C. (2012), Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach. J. Forecast., 31: 391–400. doi: 10.1002/for.1220

Author Information

  1. 1

    Department of Business Administration, Technological Educational Institution of Ionian Islands, Kefallinia, Greece

  2. 2

    Les Roches-Gruyère, University of Applied Sciences, Switzerland

  3. 3

    DCT University Centre, Vitznau, Switzerland

*Christina Beneki, Department of Business Administration, Technological Educational Institution of Ionian Islands, Stylianou Typaldou 28200, Lixouri, Kefallinia, Greece. E-mail: benekic@teiion.gr

Publication History

  1. Issue published online: 8 JUL 2012
  2. Article first published online: 9 MAR 2011

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Keywords:

  • singular spectrum analysis;
  • singular value decomposition;
  • business cycle decomposition;
  • tourism income;
  • signal extraction;
  • forecasting

ABSTRACT

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 © 2011 John Wiley & Sons, Ltd.

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