Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature

DOI10.1016/j.csda.2016.10.023zbMath1466.62165OpenAlexW2229555156MaRDI QIDQ1658459

Pierre Ailliot, Valérie Monbet

Publication date: 14 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2016.10.023

zbMATH Keywords

EM algorithmsparsitypenalized likelihoodSCADdaily temperatureMarkov switching vector autoregressive processstochastic weather generators

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

Related Items (7)

Stochastic models of joint non-stationary time-series of air temperature, relative humidity and atmospheric pressure ⋮ Discussion on ``Saving storage in climate ensembles: a model-based stochastic approach ⋮ Assessing the performance of model-based clustering methods in multivariate time series with application to identifying regional wind regimes ⋮ A Non‐Gaussian Spatio‐Temporal Model for Daily Wind Speeds Based on a Multi‐Variate Skew‐t Distribution ⋮ Numerical stochastic model of non-stationary time series of the wind chill index ⋮ Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method ⋮ Vector autoregressive models with spatially structured coefficients for time series on a spatial grid

Uses Software

• glasso
• NHMSAR

Cites Work

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