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  • 标题:Assessing the stability of long-horizon SSA forecasting
  • 本地全文:下载
  • 作者:Andrey Pepelyshev ; Anatoly Zhigljavsky
  • 期刊名称:Statistics and Its Interface
  • 印刷版ISSN:1938-7989
  • 电子版ISSN:1938-7997
  • 出版年度:2010
  • 卷号:3
  • 期号:3
  • 页码:321-327
  • DOI:10.4310/SII.2010.v3.n3.a5
  • 出版社:International Press
  • 摘要:We start with formalizing the problem of assessing the stability of long-horizon forecasting of a given family of forecasting techniques. Next, we argue that in some applications the so-called singular-spectrum analysis (SSA) could be a suitable family of techniques to consider. We then apply the proposed methodology to two simulated time series and also to the Earth temperature records. We demonstrate that the SSA forecasts of the temperatures appear to be more stable at present than three-four years ago.
  • 关键词:singular spectrum analysis; stability of forecasts; long-horizon forecasting; retrospective forecasts; SSA vector forecasting
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