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Study of automatic choice of parameters for forecasting in singular spectrum analysis
Statistics and Its Interface ( IF 0.8 ) Pub Date : 2022-07-27 , DOI: 10.4310/21-sii707
Safia Al-Marhoobi 1 , Andrey Pepelyshev 2
Affiliation  

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.

中文翻译:

奇异谱分析中预测参数的自动选择研究

奇异谱分析 (SSA) 是分析和预测时间序列的流行工具。SSA 预测算法有两个参数应该由研究人员选择或使用所谓的基于回顾性预测的均方根误差 (RMSE) 的自动选择。我们研究了 RMSE 的敏感性,并研究了自动选择参数以预测阿曼三个气象站记录的每月温度和湿度的可靠性。
更新日期:2022-07-28
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