Mostrar el registro sencillo del ítem
Multivariate Kalman filtering for spatio-temporal processes
dc.contributor.author | Ferreira, Guillermo | |
dc.contributor.author | Mateu, Jorge | |
dc.contributor.author | Porcu, Emilio | |
dc.date.accessioned | 2022-10-20T19:12:42Z | |
dc.date.available | 2022-10-20T19:12:42Z | |
dc.date.issued | 2022 | |
dc.identifier.citation | FERREIRA, Guillermo; MATEU, Jorge; PORCU, Emilio. Multivariate Kalman filtering for spatio-temporal processes. Stochastic Environmental Research and Risk Assessment, 2022, p. 1-18 | ca_CA |
dc.identifier.issn | 1436-3240 | |
dc.identifier.issn | 1436-3259 | |
dc.identifier.uri | http://hdl.handle.net/10234/200478 | |
dc.description.abstract | An increasing interest in models for multivariate spatio-temporal processes has been noted in the last years. Some of these models are very flexible and can capture both marginal and cross spatial associations amongst the components of the multivariate process. In order to contribute to the statistical analysis of these models, this paper deals with the estimation and prediction of multivariate spatio-temporal processes by using multivariate state-space models. In this context, a multivariate spatio-temporal process is represented through the well-known Wold decomposition. Such an approach allows for an easy implementation of the Kalman filter to estimate linear temporal processes exhibiting both short and long range dependencies, together with a spatial correlation structure. We illustrate, through simulation experiments, that our method offers a good balance between statistical efficiency and computational complexity. Finally, we apply the method for the analysis of a bivariate dataset on average daily temperatures and maximum daily solar radiations from 21 meteorological stations located in a portion of south-central Chile. | ca_CA |
dc.format.extent | 18 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Springer | ca_CA |
dc.relation.isPartOf | Stochastic Environmental Research and Risk Assessment, 2022, p. 1-18 | ca_CA |
dc.rights | ©The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2022 | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | ca_CA |
dc.subject | cross-covariance | ca_CA |
dc.subject | geostatistics | ca_CA |
dc.subject | Kalman filter | ca_CA |
dc.subject | state space system | ca_CA |
dc.subject | time-varying models | ca_CA |
dc.title | Multivariate Kalman filtering for spatio-temporal processes | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.identifier.doi | https://doi.org/10.1007/s00477-022-02266-3 | |
dc.rights.accessRights | info:eu-repo/semantics/restrictedAccess | ca_CA |
dc.relation.publisherVersion | https://link.springer.com/article/10.1007/s00477-022-02266-3 | ca_CA |
dc.type.version | info:eu-repo/semantics/publishedVersion | ca_CA |
project.funder.name | Universidad de Concepción | ca_CA |
project.funder.name | Center for the Discovery of Structures in Complex Data (MiDas) | ca_CA |
project.funder.name | Ministerio de Economía y Competitividad | ca_CA |
project.funder.name | University Jaume I | ca_CA |
oaire.awardNumber | ENLACE 2018.014.028-1 | ca_CA |
oaire.awardNumber | MTM2016-78917-R | ca_CA |
oaire.awardNumber | UJI-B2018-04 | ca_CA |
Ficheros en el ítem
Ficheros | Tamaño | Formato | Ver |
---|---|---|---|
No hay ficheros asociados a este ítem. |
Este ítem aparece en la(s) siguiente(s) colección(ones)
-
INIT_Articles [749]
-
MAT_Articles [761]
Articles de publicacions periòdiques