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

Christina Beneki, Bruno Eeckels and Costas Leon

MPRA Paper from University Library of Munich, Germany

Abstract: We present and apply the Singular Spectrum Analysis (SSA), a relatively new, non-parametric and data-driven method used for signal extraction (trends, seasonal and business cycle components) and forecasting of the UK tourism income. Our results show that SSA outperforms slightly SARIMA and time-varying parameter State Space Models in terms of RMSE, MAE and MAPE forecasting criteria.

Keywords: Singular Spectrum Analysis; Singular Value Decomposition; Business Cycle Decomposition; Tourism Income; United Kingdom; Signal Extraction; Forecasting (search for similar items in EconPapers)
JEL-codes: C53 E32 C14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-for and nep-tur
Date: 2009-09-28
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:18354

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