Motivated by issues of marine data analysis under complex orographic conditions, a multivariate hidden Markov model is proposed for the analysis of a temporal sequence of spatial lattice circular data. Each spatial series is modelled by a circular random field whose parameters depend on the evolution of a latent Markov chain. The circular random field is specified in terms of a consistent set of conditional von Mises densities, which are Markov with respect to a spatial neighborhood structure. Because the likelihood of the model depends on a intractable normalizing constant, estimation is based on a computationally efficient EM algorithm that iteratively updates the parameters of a pseudo-likelihood function. The model is illustrated on a space-time series of wintertime wave directions in the Adriatic sea.

LAGONA F (2012). A multivariate hidden Markov model for the analysis of space-time circular data. In PROOCEEDINGS OF THE 5th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computing & Statistics (ERCIM 2012).

A multivariate hidden Markov model for the analysis of space-time circular data

LAGONA, Francesco
2012

Abstract

Motivated by issues of marine data analysis under complex orographic conditions, a multivariate hidden Markov model is proposed for the analysis of a temporal sequence of spatial lattice circular data. Each spatial series is modelled by a circular random field whose parameters depend on the evolution of a latent Markov chain. The circular random field is specified in terms of a consistent set of conditional von Mises densities, which are Markov with respect to a spatial neighborhood structure. Because the likelihood of the model depends on a intractable normalizing constant, estimation is based on a computationally efficient EM algorithm that iteratively updates the parameters of a pseudo-likelihood function. The model is illustrated on a space-time series of wintertime wave directions in the Adriatic sea.
978-84-937822-2-1
LAGONA F (2012). A multivariate hidden Markov model for the analysis of space-time circular data. In PROOCEEDINGS OF THE 5th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computing & Statistics (ERCIM 2012).
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11590/186444
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