Study of automatic choice of parameters for forecasting in singular spectrum analysis

AlMarhoobi, Safia and Pepelyshev, Andrey ORCID: https://orcid.org/0000-0001-5634-5559 2023. Study of automatic choice of parameters for forecasting in singular spectrum analysis. Statistics and Its Interface 16 (1) , pp. 109-116. 10.4310/21-SII707

Preview

PDF - Accepted Post-Print Version Download (468kB) | Preview

Abstract

Singular spectrum analysis (SSA) is a popular tool for analysing and forecasting time series. The SSA forecasting algorithms have two parameters which should be chosen by the researcher or using the so-called automatic choice based on the root mean squared errors (RMSE) of retrospective forecasts. We study the sensitivity of the RMSE and investigate the reliability of the automatic choice of parameters for forecasting monthly temperature and humidity recorded at three meteorological stations in Oman.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Mathematics
Publisher:	International Press
ISSN:	1938-7989
Date of First Compliant Deposit:	26 November 2021
Date of Acceptance:	1 September 2021
Last Modified:	07 Nov 2023 00:35
URI:	https://orca.cardiff.ac.uk/id/eprint/145766

Actions (repository staff only)

Edit Item