A new hidden Markov model is proposed for the analysis of cylindrical time series, i.e. bivariate time series of intensities and angles. It allows to segment cylindrical time series according to a finite number of regimes that represent the conditional distributions of the data under specific environmental conditions. The model parsimoniously accommodates for circular-linear correlation, multimodality, skewness and temporal autocorrelation. A computationally efficient Expectation-Maximization algorithm is described to estimate the parameters and a parametric bootstrap routine is provided to compute confidence intervals. These methods are illustrated on cylindrical time series of wave heights and directions.
Lagona, F., Picone, M., Maruotti, A. (2015). A Hidden Markov model for the analysis of cylindrical time series. ENVIRONMETRICS, 26, 534-544 [10.1002/env.2355].
A Hidden Markov model for the analysis of cylindrical time series
LAGONA, Francesco;
2015-01-01
Abstract
A new hidden Markov model is proposed for the analysis of cylindrical time series, i.e. bivariate time series of intensities and angles. It allows to segment cylindrical time series according to a finite number of regimes that represent the conditional distributions of the data under specific environmental conditions. The model parsimoniously accommodates for circular-linear correlation, multimodality, skewness and temporal autocorrelation. A computationally efficient Expectation-Maximization algorithm is described to estimate the parameters and a parametric bootstrap routine is provided to compute confidence intervals. These methods are illustrated on cylindrical time series of wave heights and directions.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
