Predictions in time series using multivariate regression models
There are many possibilities for prediction of time series. The well-known and commonly used are methods based on the Box-Jenkins methodology [\textit{G.E.P. Box} and \textit{G.M. Jenkins}, Time series analysis forecasting and control. (1970; Zbl 0249.62009)]. The other approach is based on modeling time series by regression models and finding the best linear unbiased predictor (BLUP). This method is known in the engineering literature as ``kriging.NEWLINENEWLINENEWLINEThe aim of this paper is to study a method of prediction using multivariate regression models. The method is based on the idea of predicting future values of an observed time series using multivariate regression models with estimated and predicted regression parameters. It is known that this approach can be studied by the methods of kriging for finding the BLUPs of future observations. The BLUPs are derived by using Kronecker products of matrices and their basic properties. Predictions are studied w.r.t. their mean squared errors.NEWLINENEWLINENEWLINETwo methods of prediction are proposed: the simple one and the above-mentioned method based on kriging theory. The mean squared errors of these predictions are computed and it is shown that the first one can be regarded as a special case of the kriging approach.
- Estimating variances in time series kriging using convex optimization and empirical BLUPs
- Optimized regression models for time series
- scientific article; zbMATH DE number 5811283 (Why is no real title available?)
- scientific article; zbMATH DE number 1747151 (Why is no real title available?)
- scientific article; zbMATH DE number 1796001 (Why is no real title available?)
- A time-simultaneous prediction box for a multivariate time series
This page was built for publication: Predictions in time series using multivariate regression models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2740041)
