Signal Extraction and Forecasting of the UK Tourism Income Time Series. A Singular Spectrum Analysis Approach

Abstract

We present and apply the Singular Spectrum Analysis (SSA), a relatively new, non-parametric and data-driven method used for signal extraction (trends, seasonal and business cycle components) and forecasting of the UK tourism income. Our results show that SSA outperforms slightly SARIMA and time-varying parameter State Space Models in terms of RMSE, MAE and MAPE forecasting criteria.Singular Spectrum Analysis; Singular Value Decomposition; Business Cycle Decomposition; Tourism Income; United Kingdom; Signal Extraction; Forecasting