Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach

We present and apply singular spectrum analysis (SSA), a relatively new, non‐parametric and data‐driven method for signal extraction (trends, seasonal and business cycle components) and forecasting of UK tourism income. Our results show that SSA slightly outperforms SARIMA and time‐varying‐parameter state space models in terms of root mean square error, mean absolute error and mean absolute percentage error forecasting criteria.