2016/05/07 by Donya Rahmani, Rahmani, Donya, Saeed Heravi +5
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #37M10 #91B84 #Diverse Interdisciplinary Research Innovations #FOS: Economics and business #Statistical Finance (q-fin.ST) #Statistical and numerical algorithms #msc:37M10 #msc:91B84 #q-fin.ST
paper · pdf · doi:10.48550/arxiv.1605.02188
arxiv created 2016/05/07 · openalex publication_date 2016/05/07 · arxiv updated 2016/05/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This study extends and evaluates the forecasting performance of the Singular Spectrum Analysis (SSA) technique using a general non-linear form for the re- current formula. In this study, we consider 24 series measuring the monthly seasonally adjusted industrial production of important sectors of the German, French and UK economies. This is tested by comparing the performance of the new proposed model with basic SSA and the SSA bootstrap forecasting, especially when there is evidence of structural breaks in both in-sample and out-of-sample periods. According to root mean-square error (RMSE), SSA using the general recursive formula outperforms both the SSA and the bootstrap forecasting at horizons of up to a year. We found no significant difference in predicting the direction of change between these methods. Therefore, it is suggested that the SSA model with the general recurrent formula should be chosen by users in the case of structural breaks in the series.