Optimal modeling and filtering of stochastic time series for geoscience applications (Q474247): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(5 intermediate revisions by 5 users not shown) | |||
Property / review text | |||
Summary: Sequences of observations or measurements are often modeled as realizations of stochastic processes with some stationary properties in the first and second moments. However in practice, the noise biases and variances are likely to be different for different epochs in time or regions in space, and hence such stationarity assumptions are often questionable. In the case of strict stationarity with equally spaced data, the Wiener-Hopf equations can readily be solved with fast Fourier transforms (FFTs) with optimal computational efficiency. In more general contexts, covariance matrices can also be diagonalized using the Karhunen-Loève transforms (KLTs), or more generally using empirical orthogonal and biorthogonal expansions, which are unfortunately much more demanding in terms of computational efforts. In cases with increment stationarity, the mathematical modeling can be modified and generalized covariances can be used with some computational advantages. The general nonlinear solution methodology is also briefly overviewed with the practical limitations. These different formulations are discussed with special emphasis on the spectral properties of covariance matrices and illustrated with some numerical examples. General recommendations are included for practical geoscience applications. | |||
Property / review text: Summary: Sequences of observations or measurements are often modeled as realizations of stochastic processes with some stationary properties in the first and second moments. However in practice, the noise biases and variances are likely to be different for different epochs in time or regions in space, and hence such stationarity assumptions are often questionable. In the case of strict stationarity with equally spaced data, the Wiener-Hopf equations can readily be solved with fast Fourier transforms (FFTs) with optimal computational efficiency. In more general contexts, covariance matrices can also be diagonalized using the Karhunen-Loève transforms (KLTs), or more generally using empirical orthogonal and biorthogonal expansions, which are unfortunately much more demanding in terms of computational efforts. In cases with increment stationarity, the mathematical modeling can be modified and generalized covariances can be used with some computational advantages. The general nonlinear solution methodology is also briefly overviewed with the practical limitations. These different formulations are discussed with special emphasis on the spectral properties of covariance matrices and illustrated with some numerical examples. General recommendations are included for practical geoscience applications. / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 86A32 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62M20 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G35 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 93E11 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6372712 / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1155/2013/895061 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2166175195 / rank | |||
Normal rank | |||
Property / Wikidata QID | |||
Property / Wikidata QID: Q59029342 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Least squares for practitioners / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 08:52, 9 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Optimal modeling and filtering of stochastic time series for geoscience applications |
scientific article |
Statements
Optimal modeling and filtering of stochastic time series for geoscience applications (English)
0 references
24 November 2014
0 references
Summary: Sequences of observations or measurements are often modeled as realizations of stochastic processes with some stationary properties in the first and second moments. However in practice, the noise biases and variances are likely to be different for different epochs in time or regions in space, and hence such stationarity assumptions are often questionable. In the case of strict stationarity with equally spaced data, the Wiener-Hopf equations can readily be solved with fast Fourier transforms (FFTs) with optimal computational efficiency. In more general contexts, covariance matrices can also be diagonalized using the Karhunen-Loève transforms (KLTs), or more generally using empirical orthogonal and biorthogonal expansions, which are unfortunately much more demanding in terms of computational efforts. In cases with increment stationarity, the mathematical modeling can be modified and generalized covariances can be used with some computational advantages. The general nonlinear solution methodology is also briefly overviewed with the practical limitations. These different formulations are discussed with special emphasis on the spectral properties of covariance matrices and illustrated with some numerical examples. General recommendations are included for practical geoscience applications.
0 references