Vector and recurrent singular spectrum analysis: which is better at forecasting?

DOI10.1080/02664763.2017.1401050OpenAlexW2768728076MaRDI QIDQ5036454

Hossein Hassani, Mansi Ghodsi, Emmanuel Sirimal Silva, Donya Rahmani

Publication date: 23 February 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://ualresearchonline.arts.ac.uk/id/eprint/12152/1/Download%20File.pdf

zbMATH Keywords

forecastingsingular spectrum analysisrecurrent SSAvector SSA

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Uses Software

• forecast
• Forecast
• CaterpillarSSA

Cites Work

• Unnamed Item
• Separability and window length in singular spectrum analysis
• A Note on Window Length Selection in Singular Spectrum Analysis
• Forecasting UK Industrial Production with Multivariate Singular Spectrum Analysis
• A new parsimonious recurrent forecasting model in singular spectrum analysis
• Forecasting before, during, and after recession with singular spectrum analysis

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