Time Series Analysis, Forecasting and Control
Time Series Analysis, Forecasting and Control
Inference in Hidden Markov Models
Inference in Hidden Markov Models
IEEE Transactions on Information Theory
The application of a general time series model to floodplain fisheries in the Amazon
Environmental Modelling & Software
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In this paper, non-homogeneous Markov-Switching Autoregressive (MS-AR) models are proposed to describe wind time series. In these models, several autoregressive models are used to describe the time evolution of the wind speed and the switching between these different models is controlled by a hidden Markov chain which represents the weather types. We first block the data by month in order to remove seasonal components and propose a MS-AR model with non-homogeneous autoregressive models to describe daily components. Then we discuss extensions where the hidden Markov chain is also non-stationary to handle seasonal and interannual fluctuations. The different models are fitted using the EM algorithm to a long time series of wind speed measurement on the Island of Ouessant (France). It is shown that the fitted models are interpretable and provide a good description of important properties of the data such as the marginal distributions, the second-order structure or the length of the stormy and calm periods.