On the use of variograms for the prediction of time series (Q1060798)

From MaRDI portal
scientific article
Language Label Description Also known as
English
On the use of variograms for the prediction of time series
scientific article

    Statements

    On the use of variograms for the prediction of time series (English)
    0 references
    0 references
    1985
    0 references
    Let \(\{y_ t\), \(t\geq 0\}\) be a discrete stochastic process, with mean \(E(y_ t)=m\). Define the variogram of the process to be \(\gamma (t,t- \tau)=E\{(y_ t-y_{t-\tau})^ 2\},\) assumed to be stationary, i.e., \(\gamma (t,t-\tau)=\gamma (\tau).\) The paper derives different minimum variance unbiased expressions for \((d+1)\)-step ahead predictions of the \(\{y_ t\}\) process based on variograms, under a variety of assumptions.
    0 references
    stationary stochastic processes with non-zero mean
    0 references
    simulation
    0 references
    time series
    0 references
    discrete stochastic process
    0 references
    variogram
    0 references
    minimum variance unbiased
    0 references
    predictions
    0 references

    Identifiers