ISSN:
1573-8868
Schlagwort(e):
multiple regression
;
Box-Jenkins' method
;
hydrogeology
;
mine discharge
Quelle:
Springer Online Journal Archives 1860-2000
Thema:
Geologie und Paläontologie
,
Mathematik
Notizen:
Abstract The transfer function of time-dependent models is classically inferred by the ordinary least squares (OLS) techniques. This OLS technique assumes independence of the residuals with time. However, in practical cases, this hypothesis is often not justified producing inefficient estimation of the transfer function. When the residuals constitute an autoregressive process, we propose to apply the Box-Jenkins' method to model the residuals, and to modify in a simple manner the primary convolution equation. Then, a multivariate regression technique is used to infer the transfer function of the new equation producing time-independent residuals. This three-step autoregressive deconvolution technique is particularly efficient for time series analysis. The reconstitution and the forecasting of real data are improved efficiently. Theoretically, the proposed method can be extended to the convolution equations for which the residuals follow a moving average or an autoregressive-moving average process, but the mathematical formulation is no longer direct and explicit. For this general case, we propose to approximate the moving average or the autoregressive-moving average process by an autoregressive process of sufficient order, and then the transfer function. Two case studies in hydrogeology will be used to illustrate the procedure.
Materialart:
Digitale Medien
URL:
http://dx.doi.org/10.1007/BF00890531
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