Markov-switching autoregressive models for wind time series
نویسندگان
چکیده
منابع مشابه
Markov-switching autoregressive models for wind time series
In this paper we build a Markov-Switching Autoregressive model to describe a long time series of wind speed measurement. It is shown that the proposed model is able to describe the main characteristics of this time series, and in particular the various time scales which can be observed in the dynamics, from daily to interannual fluctuations.
متن کاملNon-homogeneous hidden Markov-switching models for wind time series
HAL is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau...
متن کاملSparse vector Markov switching autoregressive models. Application to multivariate time series of temperature
Multivariate time series are of interest in many fields including economics and environment. The dynamical processes occurring in these domains often exhibit regimes so that it is common to describe them using Markov Switching vector autoregressive processes. However the estimation of such models is difficult even when the dimension is not so high because of the number of parameters involved. I...
متن کاملA Study of Intercept Adjusted Markov Switching Vector Autoregressive Model in Economic Time Series Data
Commodity price always related to the movement of stock market index. However real economic time series data always exhibit nonlinear properties such as structural change, jumps or break in the series through time. Therefore, linear time series models are no longer suitable and Markov Switching Vector Autoregressive models which able to study the asymmetry and regime switching behavior of the d...
متن کاملModelling Dengue Epidemics with Autoregressive Switching Markov Models (AR-HMM)
In this work, autoregressive switching-Markov models (ARHMM) are applied to the dengue fever epidemics (DF) in La Havana (Cuba). This technique allows to model time series which are controlled by some unobserved process and finite time lags. A first experiment with real data of dengue is performed in order to obtain the characterization of different stages of the epidemics. The aim of this work...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Environmental Modelling & Software
سال: 2012
ISSN: 1364-8152
DOI: 10.1016/j.envsoft.2011.10.011