Non-homogeneous hidden Markov-switching models for wind time series

被引:29
作者
Ailliot, Pierre [1 ]
Bessac, Julie [2 ]
Monbet, Valerie [2 ]
Pene, Francoise [1 ]
机构
[1] Univ Brest, Lab Math Bretagne Atlantique, UMR 6205, Brest, France
[2] Univ Rennes 1, Inst Rech Math Rennes, UMR 6625, F-35014 Rennes, France
关键词
Wind time series; Markov-switching autoregressive process; Non-homogeneous hidden Markov process; Linear-circular time series; Consistency;
D O I
10.1016/j.jspi.2014.12.005
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
In this paper we propose various Markov-switching autoregressive models for bivariate time series which describe wind conditions at a single location. The main originality of the proposed models is that the hidden Markov chain is not homogeneous, its evolution depending on past wind conditions. It is shown that they have good theoretical properties and permit to reproduce complex features of wind time series such as non-linear dynamics and multimodal marginal distributions. This is illustrated on a wind time series for a location off the French Atlantic coast using the R package NHMSAR. (C) 2014 Elsevier B.V. All rights reserved.
引用
收藏
页码:75 / 88
页数:14
相关论文
共 29 条
  • [1] An autoregressive model with time-varying coefficients for wind fields
    Ailliot, P
    Monbet, V
    Prevosto, M
    [J]. ENVIRONMETRICS, 2006, 17 (02) : 107 - 117
  • [2] Ailliot P., 2014, ESAIM P S IN PRESS
  • [3] Markov-switching autoregressive models for wind time series
    Ailliot, Pierre
    Monbet, Valerie
    [J]. ENVIRONMENTAL MODELLING & SOFTWARE, 2012, 30 : 92 - 101
  • [4] [Anonymous], STATISTICS OF DIRECT
  • [5] [Anonymous], 2005, SPR S STAT
  • [6] A MAXIMIZATION TECHNIQUE OCCURRING IN STATISTICAL ANALYSIS OF PROBABILISTIC FUNCTIONS OF MARKOV CHAINS
    BAUM, LE
    PETRIE, T
    SOULES, G
    WEISS, N
    [J]. ANNALS OF MATHEMATICAL STATISTICS, 1970, 41 (01): : 164 - &
  • [7] Breckling J., 1989, ANAL DIRECTIONAL TIM, V61
  • [8] BROWN BG, 1984, J CLIM APPL METEOROL, V23, P1184, DOI 10.1175/1520-0450(1984)023<1184:TSMTSA>2.0.CO
  • [9] 2
  • [10] European temperatures in CMIP5: origins of present-day biases and future uncertainties
    Cattiaux, Julien
    Douville, Herve
    Peings, Yannick
    [J]. CLIMATE DYNAMICS, 2013, 41 (11-12) : 2889 - 2907