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

DOI10.1080/03610918.2019.1664578OpenAlexW2974237113WikidataQ127252437 ScholiaQ127252437MaRDI QIDQ5087986FDOQ5087986

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

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

Cited In (3)

• Vector and recurrent singular spectrum analysis: which is better at forecasting?
• Remark on the accuracy of recurrent forecasting in singular spectrum analysis
• Title not available (Why is that?)

Uses Software

• CaterpillarSSA

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