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Feasibility of Goestatistical Method on Time Series Forecast
CHANG Wen-yuan, DAI Xin-gang, FENG Guo-lin
CHINESE JOURNAL OF COMPUTATIONAL PHYSICS
2006, 23 (3):
335-342.
To study the feasibility of goestatistical method on time series forecast, we use a section of Lorenz system for extrapolation and try to give a theoretic explanation. Numerical investigation points out that though Ordinary Kriging's(OK) solution resembles that of AR model. OK is better for forecast whether the series is stable or not. Universal Kriging's (UK) results present a drift which deviates from the real value obviously. Three experimental schemes were designed. In a comparison calculation of the ideal datum and meteorological datum, it indicates that the schemes is possible to improve the extrapolation accuracy. It lies on the characteristics of the series and needs further study.
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