Statistics and Its Interface

Volume 3 (2010)

Number 3

Prediction of steel prices: A comparison between a conventional regression model and MSSA

Pages: 369 – 375

DOI: http://dx.doi.org/10.4310/SII.2010.v3.n3.a10

Authors

Martin Kapl (Johannes-Kepler-University, Linz, Austria)

Werner G. Müller (Johannes-Kepler-University, Linz, Austria)

Abstract

In this paper we compare two forecast procedures by its capabilities to predict market steel prices. One is based on the classical Box-Jenkins ARIMA class, the other on multichannel singular spectrum analysis (MSSA).We find the two approaches competitive with an advantage for MSSA to be expected as the time series grow longer.

Keywords

hot rolled coil, multi-channel singular spectrum analysis

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