A new parsimonious recurrent forecasting model in singular spectrum analysis

Rahim Mahmoudvand and Paulo Canas Rodrigues

Journal of Forecasting, 2018, vol. 37, issue 2, 191-200

Abstract: Singular spectrum analysis (SSA) is a powerful nonparametric method in the area of time series analysis that has shown its capability in different applications areas. SSA depends on two main choices: the window length L and the number of eigentriples used for grouping r. One of the most important issues when analyzing time series is the forecast of new observations. When using SSA for time series forecasting there are several alternative algorithms, the most widely used being the recurrent forecasting model, which assumes that a given observation can be written as a linear combination of the L−1 previous observations. However, when the window length L is large, the forecasting model is unlikely to be parsimonious. In this paper we propose a new parsimonious recurrent forecasting model that uses an optimal m(

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jforec:v:37:y:2018:i:2:p:191-200

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