A novel segmentation method is proposed for the analysis of bivariate times eries of intensities and angles that often occur in environmental applications. The model is based on a mixture of copula-based cylindrical distributions,whose parameters evolve according to a latent Markov chain.The model parsimoniously accommodates typical features of cylindrical time series such as circular-linear correlation, multimodality, skewness and temporal auto-correlation. A computationally efficient Expectation-Maximization algorithm is described to estimate the parameters and a parametric bootstrap routine is exploited to compute confidence intervals. These methods are illustrated on cylindrical time series of wave heights and directions in the Adriatic sea.

Francesco Lagona (2017). Copula-based segmentation of environmental time series with linear and circular components.. In Alessandra Petrucci and Rosanna Verde (a cura di), SIS 2017. Statistics and Data Science: new challenges, new generations. 28-30 June 2017 Florence (Italy). Proceedings of the Conference of the Italian Statistical Society (pp. 569-574). Firenze : Firenze University Press.

Copula-based segmentation of environmental time series with linear and circular components.

LAGONA, Francesco
2017

Abstract

A novel segmentation method is proposed for the analysis of bivariate times eries of intensities and angles that often occur in environmental applications. The model is based on a mixture of copula-based cylindrical distributions,whose parameters evolve according to a latent Markov chain.The model parsimoniously accommodates typical features of cylindrical time series such as circular-linear correlation, multimodality, skewness and temporal auto-correlation. A computationally efficient Expectation-Maximization algorithm is described to estimate the parameters and a parametric bootstrap routine is exploited to compute confidence intervals. These methods are illustrated on cylindrical time series of wave heights and directions in the Adriatic sea.
978-88-6453-521-0
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11590/321384
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact