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arXiv 2007.11418stat.MEstat.AP
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高频监测数据的灵活非平稳时空建模

Flexible nonstationary spatio-temporal modeling of high-frequency monitoring data

Christopher J. Geoga, Mihai Anitescu, Michael L. Stein

摘要:

许多物理数据集是由以固定时间间隔进行测量的仪器集合生成的。对于这样的定期监测数据,我们扩展了半谱协方差函数的框架,在空间和时间的非平稳性的情况下,并证明了这种方法提供了一个自然和易于处理的方式将复杂的行为纳入协方差模型。此外,我们使用这种方法与充分的时域计算,以获得真正的极大似然估计-而不是使用惠特尔型似然近似,例如-仍然可以有效地计算。我们将这种方法应用于非常高频率的多普勒激光雷达垂直风速测量,表明该模型可以表现出捕获大气边界层上方和下方动态的极端非平稳性,更重要的是,过程动态的相互作用。

英文摘要:

Many physical datasets are generated by collections of instruments that make measurements at regular time intervals. For such regular monitoring data, we extend the framework of half-spectral covariance functions to the case of nonstationarity in space and time and demonstrate that this method provides a natural and tractable way to incorporate complex behaviors into a covariance model. Further, we use this method with fully time-domain computations to obtain bona fide maximum likelihood estimators---as opposed to using Whittle-type likelihood approximations, for example---that can still be computed efficiently. We apply this method to very high-frequency Doppler LIDAR vertical wind velocity measurements, demonstrating that the model can expressively capture the extreme nonstationarity of dynamics above and below the atmospheric boundary layer and, more importantly, the interaction of the process dynamics across it.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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