奇异谱分析中预测参数的自动选择研究

IF 0.3 4区数学 Q4 MATHEMATICAL & COMPUTATIONAL BIOLOGY

Statistics and Its Interface Pub Date : 2023-01-01 DOI:10.4310/21-sii707

Safia Al-Marhoobi, A. Pepelyshev

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引用次数: 0

摘要

奇异谱分析(SSA)是分析和预测时间序列的常用工具。SSA预测算法有两个参数，这两个参数应该由研究人员选择，或者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，并调查了自动选择参数预测阿曼三个气象站记录的月温度和湿度的可靠性。

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Study of automatic choice of parameters for forecasting in singular spectrum analysis

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 inves-tigate the reliability of the automatic choice of parameters for forecasting monthly temperature and humidity recorded at three meteorological stations in Oman.

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来源期刊

Statistics and Its Interface MATHEMATICAL & COMPUTATIONAL BIOLOGY-MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

CiteScore

0.90

自引率

12.50%

发文量

审稿时长

6 months

期刊介绍： Exploring the interface between the field of statistics and other disciplines, including but not limited to: biomedical sciences, geosciences, computer sciences, engineering, and social and behavioral sciences. Publishes high-quality articles in broad areas of statistical science, emphasizing substantive problems, sound statistical models and methods, clear and efficient computational algorithms, and insightful discussions of the motivating problems.