A new approach for the vector forecast algorithm in singular spectrum analysis

DOI10.1080/03610918.2019.1664578MaRDI QIDQ5087986zbMATH OpenOpenAlexWikidataFDO

Authors Rahim Mahmoudvand, Paulo Canas Rodrigues

Publication date 4 July 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1664578

zbMATH Keywords

time series forecastingstock marketssingular spectrum analysisvector forecast algorithm

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A new approach for selecting the number of the eigenvalues in singular spectrum analysis
• A new parsimonious recurrent forecasting model in singular spectrum analysis
• Analysis of time series structure. SSA and related techniques
• Forecasting mortality rate by multivariate singular spectrum analysis
• Moment tests for window length selection in singular spectrum analysis of short- and long-memory processes
• On the choice of parameters in singular spectrum analysis and related subspace-based methods
• On the optimal parameters for reconstruction and forecasting in singular spectrum analysis
• Separability and window length in singular spectrum analysis
• Singular spectrum analysis for time series.
• The benefits of multivariate singular spectrum analysis over the univariate version

Cited in

(3)

• Remark on the accuracy of recurrent forecasting in singular spectrum analysis
• Vector and recurrent singular spectrum analysis: which is better at forecasting?
• A comparative study of singular spectrum analysis, neural network, ARIMA and exponential smoothing for monthly rainfall forecasting

Describes a project that uses

Uses Software

• CaterpillarSSA

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