An improved SSA forecasting result based on a filtered recurrent forecasting algorithm

DOI10.1016/J.CRMA.2017.09.004MaRDI QIDQ2408541zbMATH OpenOpenAlexFDO

Authors Hossein Hassani, Mahdi Kalantari, Masoud Yarmohammadi

Publication date 12 October 2017

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2017.09.004

zbMATH Keywords

forecasting methodssingular spectrum analysistime series analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)

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Cites work

• Extracting qualitative dynamics from experimental data
• Forecasting time series with complex seasonal patterns using exponential smoothing
• scientific article; zbMATH DE number 5223072 (Why is no real title available?)
• Singular spectrum analysis for time series.

Cited in

(5)

• Basic singular spectrum analysis and forecasting with R
• A novel signal extraction approach for filtering and forecasting noisy exponential series
• A new parsimonious recurrent forecasting model in singular spectrum analysis
• Forecasting before, during, and after recession with singular spectrum analysis
• Forecasting mortality rate by singular spectrum analysis

Describes a project that uses

Uses Software

• TSA
• forecast

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