Space-time autoregressive estimation and prediction with missing data based on Kalman filtering
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Scholar |
Other documents of the author: Padilla-Solis, Leonardo Fabricio; Lagos Álvarez, Bernardo M.; Mateu, Jorge; Porcu, Emilio
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Show full item recordcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/7037
comunitat-uji-handle3:10234/8635
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https://doi.org/10.1002/env.2627 |
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Title
Space-time autoregressive estimation and prediction with missing data based on Kalman filteringAuthor (s)
Date
2020-11Publisher
WileyBibliographic citation
PADILLA, Leonardo, et al. Space‐time autoregressive estimation and prediction with missing data based on Kalman filtering. Environmetrics, 2020, p. e2627.Type
info:eu-repo/semantics/articlePublisher version
https://onlinelibrary.wiley.com/doi/epdf/10.1002/env.2627Version
info:eu-repo/semantics/publishedVersionSubject
Abstract
We propose a Kalman filter algorithm to provide a formal statistical analysis of space‐time data with an autoregressive structure in time. The Kalman filter technique allows to capture the temporal dependence as well ... [+]
We propose a Kalman filter algorithm to provide a formal statistical analysis of space‐time data with an autoregressive structure in time. 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 parameter estimation and prediction at unobserved locations. We thus develop space‐time estimation and prediction methods in the presence of missing data, through the Kalman filter, in order to obtain accurate estimates of model parameters and reliable space‐time predictions. Our findings are illustrated through an application on daily air temperatures in some regions of southern Chile, where the dataset shows a number of missing data in many locations. [-]
Is part of
Environmetrics, 2020, v. 31, issue 7Rights
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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- INIT_Articles [749]
- MAT_Articles [761]