Non-linear autoregressive time series with multivariate Gaussian mixtures as marginal distributions

Journal of the Royal Statistical Society. Series C: Applied Statistics

Volumn 50, Issue 2, 2001, Pages 143-154

  Glasbey, C A ^a  

^a BIOMATHEMATICS AND STATISTICS SCOTLAND   (United Kingdom)

Author keywords

Causal graph; Latent variable; Markov process; Multiprocess dynamic linear model; Solar radiation

Indexed keywords

EID: 0035649667     PISSN: 00359254     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9876.00225     Document Type: Article

References (30)

1. Aguiar, R. and Collares Pereira, M. (1992) TAG - a time-dependent, autoregressive, Gaussian model for generating synthetic hourly radiation data. Solar En., 49, 167-174.
2. Beyer, H. G., Bohlen, M. and Schumacher, J. (1995) GENG: a solar radiation data generator for the simulation system INSEL. In Proc. 13th Eur. Photovoltaic Solar Energy Conf. (eds W. Freiesleben, W. Palz, H. A. Ossenbrink and P. Helm), vol. 1, pp. 982-985. Bedford: Stephens.
3. Billio, M. and Monfort, A. (1998) Switching state-space models - likelihood function, filtering and smoothing. J. Statist. Planng Inf., 68, 65-103.
4. Brunger, A. P. and Hooper, F. C. (1993) Anisotropic sky radiance model based on narrow field of view measurements of short wave radiance. Solar En., 51, 53-64.
5. Carter, C. K. and Kohn, R. (1996) Markov chain Monte Carlo in conditionally Gaussian state space models. Biometrika, 83, 589-601.
6. Graham, R., Glasbey, C. A. and Hunter, A. G. M. (1996) Consequences of decentralised PV on local network management. Final report: variation of solar energy across a region: spatio-temporal models. Report. Scottish Agricultural College, Penicuik.
7. Graham, V. A. and Hollands, K. G. T. (1990) A method to generate synthetic hourly solar radiation globally. Solar En., 44, 333-341.
8. Hamilton, J. D. (1990) Analysis of times series subject to changes in regime. J. Econometr., 45, 39-70.
9. Hjort, N. L. and Omre, H. (1994) Topics in spatial statistics (with discussion). Scand. J. Statist., 21, 289-357.
10. Ineichen, P., Molineaux, B. and Perez, R. (1994) Sky luminance data validation - comparison of 7 models with 4 data-banks. Solar En., 52, 337-346.
11. Jennison, C. (1993) Discussion on the meeting on the Gibbs sampler and other Markov chain Monte Carlo methods. J. R. Statist. Soc. B, 55, 54-56.
12. Joe, H. (1997) Multivariate Models and Dependence Concepts. London: Chapman and Hall.
13. Jones, D. A. (1978) Nonlinear autoregressive processes. Proc. R. Soc. Lond. A, 360, 71-95.
14. Jordon, M. I. and Jacobs, R. A. (1994) Hierarchical mixtures of experts and the EM algorithm. Neur. Computn, 8, 181-214.
15. Le, N. D., Martin, R. E. and Raftery, A. E. (1996) Modeling flat stretches, bursts, and outliers in time series using Mixture Transition Distribution Models. J. Am. Statist. Ass., 91, 1504-1515.
16. Leroux, B. G. and Puterman, M. L. (1992) Maximum-penalized-likelihood estimation for independent and Markov-dependent mixture models. Biometrics, 48, 545-558.
17. Long, C. N. and Ackerman, T. P. (1995) Surface measurements of solar irradiance: a study of the spatial correlation between simultaneous measurements at separated sites. J. Appl. Meteorol., 34, 1039-1046.
18. MacDonald, I. L. and Zucchini, W. (1997) Hidden Markov and Other Models for Discrete-valued Time Series. London: Chapman and Hall.
19. Moeanaddin, R. and Tong. H. (1990) Numerical evaluation of distributions in non-linear autoregression. J. Time Ser. Anal., 11, 33-48.
20. Morf, H. (1998) The stochastic two-state solar irradiance model (STSIM). Solar En., 62, 101-112.
21. Müller, P., West, M. and MacEachern, S. (1997) Bayesian models for non-linear autoregressions. J. Time Ser. Anal., 18, 593-614.
22. Owczarek, S. (1997) Vector model for calculation of solar radiation intensity and sums incident on tilted surfaces: identification for the three sky condition in Warsaw. Renew. En., 11, 77-96.
23. Palz, W. and Greif, J. (eds) (1996) European Solar Radiation Atlas: Solar Radiation on Horizontal and Inclined Surfaces, 3rd edn. Berlin: Springer.
24. Perez, R., Seals, R. and Michalsky, J. (1993a) All-weather model for sky luminance distribution - preliminary configuration and validation. Solar En., 50, 235-245.
25. Perez, R., Seals, R., Michalsky, J. and Ineichen, P. (1993b) Geostatistical properties and modelling of random cloud patterns for real skies. Solar En., 51, 7-18.
26. Tjøstheim, D. (1994) Non-linear time series: a selective review. Scand. J. Statist., 21, 97-130.
27. Tong, H. (1990) Non-linear Time Series: a Dynamical System Approach. Oxford: Clarendon.
28. Tovar, J., Olmo, F. J. and Alados Arboledas, L. (1995) Local-scale variability of solar radiation in a mountainous region. J. Appl. Meteorol., 34, 2316-2322.
29. West, M. and Harrison, J. (1997) Bayesian Forecasting and Dynamic Models, 2nd edn. New York: Springer.
30. Wong, C. S. and Li, W. K. (2000) On a mixture autoregressive model. J. R. Statist. Soc. B, 62, 95-115.