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Singular spectrum analysis: methodology and application to economics data

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Abstract

This paper describes the methodology of singular spectrum analysis (SSA) and demonstrate that it is a powerful method of time series analysis and forecasting, particulary for economic time series. The authors consider the application of SSA to the analysis and forecasting of the Iranian national accounts data as provided by the Central Bank of the Islamic Republic of Iran.

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Author information

Authors and Affiliations

  1. Institute for Trade Studies and Research (ITSR), Tehran, Iran

    Hossein Hassani

  2. Centre for Optimisation and Its Applications, School of Mathematics, Cardiff University, Cardiff, UK

    Hossein Hassani & Anatoly Zhigljavsky

Authors
  1. Hossein Hassani
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  2. Anatoly Zhigljavsky
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Corresponding author

Correspondence to Hossein Hassani.

Additional information

This research was in part supported by a grant (No. 88/121230) from Institute for Trade Studies and Research (ITSR), Tehran, Iran.

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Hassani, H., Zhigljavsky, A. Singular spectrum analysis: methodology and application to economics data. J Syst Sci Complex 22, 372–394 (2009). https://doi.org/10.1007/s11424-009-9171-9

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  • DOI: https://doi.org/10.1007/s11424-009-9171-9

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