Automated Generation of Reduced Stochastic Weather Models I: Simultaneous Dimension and Model Reduction for Time Series Analysis

DOI10.1137/060670535zbMATH Open1152.62056OpenAlexW2027079844MaRDI QIDQ3545641FDOQ3545641

Illia Horenko, Rupert Klein, Christof Schütte, Stamen I. Dolaptchiev

Publication date: 11 December 2008

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5e008c04907fa7f080771658ed81cc59708d4b3e

zbMATH Keywords

principal component analysishidden Markov modelsmetastabilitymultidimensional stochastic differential equationsseasonal autoregressive integrable model with moving average

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (2)

• Normal forms for reduced stochastic climate models
• Principal Dynamical Components

Uses Software

• NewtonLib

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