Automated generation of reduced stochastic weather models I: Simultaneous dimension and model reduction for time series analysis

Multiscale Modeling and Simulation

Volumn 6, Issue 4, 2007, Pages 1125-1145

  Horenko, Illia ^a   Schütte, Christof ^a   Klein, Rupert ^b   Dolaptchiev, Stamen ^b  

^a FREIE UNIVERSITÄT BERLIN   (Germany)

^b POTSDAM INSTITUTE FOR CLIMATE IMPACT RESEARCH   (Germany)

Author keywords

Hidden Markov models; Metastability; Multidimensional stochastic differential equations; Principle component analysis; Seasonal autoregressive integrable model with moving average

Indexed keywords

CLUSTERING ALGORITHMS; HARMONIC ANALYSIS; HIDDEN MARKOV MODELS; IMAGE SEGMENTATION; MAXIMUM PRINCIPLE; NUMERICAL METHODS; OPTIMIZATION; ORTHOGONAL FUNCTIONS; PRINCIPAL COMPONENT ANALYSIS; STOCHASTIC SYSTEMS; TIME SERIES ANALYSIS;

AUTO-REGRESSIVE MOVING AVERAGE MODEL; EMPIRICAL ORTHOGONAL FUNCTION; EXPECTATION-MAXIMIZATION ALGORITHMS; HIDDEN MARKOV MODELS (HMMS); METASTABILITIES; MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS; PRINCIPLE COMPONENT ANALYSIS; SEASONAL AUTOREGRESSIVE INTEGRABLE MODEL WITH MOVING AVERAGE;

STOCHASTIC MODELS;

EID: 55149085946     PISSN: 15403459     EISSN: 15403467     Source Type: Journal    
DOI: 10.1137/060670535     Document Type: Article

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