Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach |
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| Authors: | Christina Beneki Bruno Eeckels Costas Leon |
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| Institution: | 1. Department of Business Administration, Technological Educational Institution of Ionian Islands, , Kefallinia, Greece;2. Les Roches‐Gruyère, University of Applied Sciences, , Switzerland;3. DCT University Centre, , Vitznau, Switzerland |
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| 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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| Keywords: | singular spectrum analysis singular value decomposition business cycle decomposition tourism income signal extraction forecasting |
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