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:: Volume 16, Issue 2 (3-2023) ::
JSS 2023, 16(2): 373-395 Back to browse issues page
Investigating the Improvement of Recurrent Forecasting of Singular Spectrum Analysis Method in Structural Time Series Models Using Data Filtration and Weighting Algorithm
Reza Zabihi Moghadam , Masoud Yarmohammadi * , Hossein Hassani , Parviz Nasiri
Abstract:   (1120 Views)
The Singular Spectrum Analysis (SSA) method is a powerful non-parametric method in the field of time series analysis and has been considered due to its features such as no need to stationarity assumptions or a limit on the number of collected observations. The main purpose of the SSA method is to decompose time series into interpretable components such as trend, oscillating component, and unstructured noise. In recent years, continuous efforts have been made by researchers in various fields of research to improve this method, especially in the field of time series prediction. In this paper, a new method for improving the prediction of singular spectrum analysis using Kalman filter algorithm in structural models is introduced. Then, the performance of this method and some generalized methods of SSA are compared with the basic SSA   using the root mean square error criterion. For this comparison, simulated data from structural models and real data of gas consumption in the UK have been used. The results of this study show that the newly introduced method is more accurate than other methods.
 
Article number: 7
Keywords: Forecasting, Kalman Filter, Singular Spectrum Analysis, State Space Form, Recurrent Forecasting.
Full-Text [PDF 3073 kb]   (1082 Downloads)    
Type of Study: Applied | Subject: Time Series
Received: 2022/01/8 | Accepted: 2023/03/1 | Published: 2022/12/21
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Zabihi Moghadam R, Yarmohammadi M, Hassani H, Nasiri P. Investigating the Improvement of Recurrent Forecasting of Singular Spectrum Analysis Method in Structural Time Series Models Using Data Filtration and Weighting Algorithm. JSS 2023; 16 (2) : 7
URL: http://jss.irstat.ir/article-1-791-en.html


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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 16, Issue 2 (3-2023) Back to browse issues page
مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences

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