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

Authors


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

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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