Multivariate singular spectrum analysis for forecasting revisions to real-time data

DOI10.1080/02664763.2010.545371OpenAlexW2035785612MaRDI QIDQ5124910

Anatoly A. Zhigljavsky, Hossein Hassani, Kerry D. Patterson, Saeed M. Heravi

Publication date: 30 September 2020

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

Full work available at URL: https://doi.org/10.1080/02664763.2010.545371

zbMATH Keywords

forecastingreconstructionrecurrence formuladata revisionsnon-parametric methodstrajectory matrixhankelisation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (7)

Predicting global temperature anomaly: a definitive investigation using an ensemble of twelve competing forecasting models ⋮ A novel similarity measure based on eigenvalue distribution ⋮ Forecasting the industrial production using alternative factor models and business survey data ⋮ Forecasting before, during, and after recession with singular spectrum analysis ⋮ Tourist number prediction of historic buildings by singular spectrum analysis ⋮ The benefits of multivariate singular spectrum analysis over the univariate version ⋮ Exchange rate forecasting with optimum singular spectrum analysis

Uses Software

• CaterpillarSSA

Cites Work

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• A review on singular spectrum analysis for economic and financial time series
• Modeling data revisions: measurement error and dynamics of ``true values
• Extracting qualitative dynamics from experimental data
• Model selection procedures in social research: Monte-Carlo simulation results
• A Bivariate Model for the Distribution of √b 1 and b 2
• Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average
• USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS
• A Dependence Metric for Possibly Nonlinear Processes
• An Algorithm Based on Singular Spectrum Analysis for Change-Point Detection
• Efficient Tests for an Autoregressive Unit Root
• A real-time data set for macroeconomists

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