Time Series Forecast with Singular Spectrum Analysis
نویسندگان
چکیده
We propose a novel approach for constructing Singular Spectrum Analysis (SSA) forecast based on estimating new coefficients of Linear Recurrent Formula. The results indicate that the proposed method is more reliable in comparison to the widely used approaches that were proposed along with SSA. We conduct simulation studies to compare the relative performance of the new method with the existing method. Our simulation results also confirm that the newly proposed approach outperforms the current methods and these results are further confirmed following an application to real time series..
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