Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach
Article first published online: 9 MAR 2011
Copyright © 2011 John Wiley & Sons, Ltd.
Journal of Forecasting
Volume 31, Issue 5, pages 391–400, August 2012
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
- Issue published online: 8 JUL 2012
- Article first published online: 9 MAR 2011
- singular spectrum analysis;
- singular value decomposition;
- business cycle decomposition;
- tourism income;
- signal extraction;
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.