On the use of variograms for the prediction of time series (Q1060798)
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English | On the use of variograms for the prediction of time series |
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On the use of variograms for the prediction of time series (English)
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1985
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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.
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stationary stochastic processes with non-zero mean
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simulation
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time series
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discrete stochastic process
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variogram
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minimum variance unbiased
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predictions
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