Identifying secondary series for stepwise common singular spectrum analysis

Viljoen, H. ; Steel, S. J. (2013)

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

Article

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.

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