A Kalman filter method for estimation and prediction of space–time data with an autoregressive structure
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Altres documents de l'autoria: Lagos Álvarez, Bernardo M.; Padilla-Solis, Leonardo Fabricio; Mateu, Jorge; Ferreira, Guillermo
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https://doi.org/10.1016/j.jspi.2019.03.005 |
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Títol
A Kalman filter method for estimation and prediction of space–time data with an autoregressive structureAutoria
Data de publicació
2019-03Editor
ElsevierCita bibliogràfica
LAGOS-ÁLVAREZ, Bernardo, et al. A Kalman filter method for estimation and prediction of space–time data with an autoregressive structure. Journal of Statistical Planning and Inference, 2019, 203: 117-130.Tipus de document
info:eu-repo/semantics/articleVersió de l'editorial
https://www.sciencedirect.com/science/article/pii/S0378375819300278Versió
info:eu-repo/semantics/publishedVersionParaules clau / Matèries
Resum
We propose a new Kalman filter algorithm to provide a formal statistical analysis of space–time data with an autoregressive structure. The Kalman filter technique allows to capture the temporal dependence as well as ... [+]
We propose a new Kalman filter algorithm to provide a formal statistical analysis of space–time data with an autoregressive structure. The Kalman filter technique allows to capture the temporal dependence as well as the spatial correlation structure through state-space equations, and it is aimed to perform statistical inference in terms of both parameter estimation and prediction at unobserved locations. We put in relevance the nugget effect at the observation equation. We test our procedure and compare it with classical kriging prediction via an intensive simulation study. We show that the Kalman filter is superior in both the estimation, without using a plug-in approach, and prediction for spatio-temporal data, providing a suitable formal procedure for the statistical analysis of space–time data. Finally, an application to the prediction of daily air temperature data in some regions of southern Chile is presented. [-]
Proyecto de investigación
University of Concepción, Chile (VRID grant 216.014.026-1.0) ; Powered@NLHPC: the supercomputing infrastructure of the NLHPC (ECM-02) ; Spanish government (project MTM2016-78917-R)Drets d'accés
© 2019 Elsevier B.V. All rights reserved.
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