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Singular spectrum analysis: methodology and application to economics data

Hassani, Hossein and Zhigljavsky, Anatoly Alexandrovich 2009. Singular spectrum analysis: methodology and application to economics data. Journal of Systems Science and Complexity 22 (3) , pp. 372-394. 10.1007/s11424-009-9171-9

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Abstract

This paper describes the methodology of singular spectrum analysis (SSA) and demonstrate that it is a powerful method of time series analysis and forecasting, particulary for economic time series. The authors consider the application of SSA to the analysis and forecasting of the Iranian national accounts data as provided by the Central Bank of the Islamic Republic of Iran.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Uncontrolled Keywords: Economic time series - forecasting - Iranian national accounts - SSA
Additional Information: This research was in part supported by a grant (No. 88/121230) from Institute for Trade Studies and Research (ITSR), Tehran, Iran.
Publisher: Springer
ISSN: 1559-7067
Last Modified: 04 Jun 2017 03:00
URI: http://orca.cf.ac.uk/id/eprint/15156

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