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Prediction of time series by the method of analogs


We consider an algorithm of prediction of nonstationary time series based on the method of analogs. Since the exhaustion of a great number of versions is required for the adjustment of the parameters of the optimal prognostic model, we describe a genetic algorithm used in this case. We consider several procedures of construction of prognostic models. The numerical results are used to choose the procedure guaranteeing the minimum mean square error. The parameters of the model affecting the quality of predictions are determined. The proposed method is tested by using the reanalysis data (NCEP/NCAR project) on the anomalies of the monthly average surface air temperature for 58 yr. The results of predictions are compared with the estimates obtained by the linear regression method. It is shown that the method of analogs gives satisfactory results even in the cases where the regression methods lead to errors equal to the variance of predicted series.

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Translated from Morskoi Gidrofizicheskii Zhurnal, No. 4, pp. 70–80, July–August, 2007.

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Vasechkina, E.F., Yarin, V.D. Prediction of time series by the method of analogs. Phys Oceanogr 17, 242–251 (2007).

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  • Genetic Algorithm
  • Neighboring Node
  • Temperature Anomaly
  • Empirical Orthogonal Function
  • Reanalysis Data