Identifying secondary series for stepwise common singular spectrum analysis
Date
2013
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Operations Research Society of South Africa
Abstract
Common singular spectrum analysis is a technique which can be used to forecast a primary time series by using the information from a secondary series. Not all secondary series, however, provide useful information. A first contribution in this paper is to point out the properties which a secondary series should have in order to improve the forecast accuracy of the primary series. The second contribution is a proposal which can be used to select a secondary series from several candidate series. Empirical studies suggest that the proposal performs well.
Description
CITATION: Viljoen, H. & Steel, S. J. 2013. Identifying secondary series for stepwise common singular spectrum analysis. Orion, 29(2):155–167, doi:10.5784/29-2-134.
The original publication is available at http://orion.journals.ac.za
The original publication is available at http://orion.journals.ac.za
Keywords
Time-series selection, Spectrum analysis
Citation
Viljoen, H. & Steel, S. J. 2013. Identifying secondary series for stepwise common singular spectrum analysis. Orion, 29(2):155–167, doi:10.5784/29-2-134.