Tracking the US business cycle with a singular spectrum analysis

Predicting the Brexit outcome using singular spectrum analysis

In a referendum conducted in the United Kingdom (UK) on June 23, 2016, $51.6\%$ of the participants voted to leave the European Union (EU). The outcome of this referendum had major policy and financial impact for both UK and EU, and was seen as a surprise because the predictions consistently indicate that the ``Remain'''' would get a majority. In this paper, we investigate whether the outcome o...

Recent Changes in the US Business Cycle∗

The US business cycle expansion that started in March 1991 is the longest on record. This paper uses statistical techniques to examine whether this expansion is a onetime unique event or whether its length is a result of a change in the stability of the US economy. Bayesian methods are used to estimate a common factor model that allows for structural breaks in the dynamics of a wide range of ma...

Time Series Forecast with Singular Spectrum Analysis

We propose a novel approach for constructing Singular Spectrum Analysis (SSA) forecast based on estimating new coefficients of Linear Recurrent Formula. The results indicate that the proposed method is more reliable in comparison to the widely used approaches that were proposed along with SSA. We conduct simulation studies to compare the relative performance of the new method with the existing ...

Business Cycle Features In The Iranian Economy

A study of singular spectrum analysis with global optimization techniques

Singular spectrum analysis has recently become an attractive tool in a broad range of applications. Its main mechanism of alternating between rank reduction and Hankel projection to produce an approximation to a particular component of the original time series, however, deserves further mathematical justification. One paramount question to ask is how good an approximation that such a straightfo...