ANALYSIS OF NON-STATIONARY MODULATED TIME SERIES WITH APPLICATIONS TO OCEANOGRAPHIC SURFACE FLOW MEASUREMENTS
ANALYSIS OF NON-STATIONARY MODULATED TIME SERIES WITH APPLICATIONS TO OCEANOGRAPHIC SURFACE FLOW MEASUREMENTS
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DOI：
10.1111/jtsa.12244
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发表时间：
2017-09-01
影响因子：
0.9
通讯作者：
Lilly, Jonathan M.
中科院分区：
文献类型：
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作者：
Guillaumin, Arthur P.;Sykulski, Adam M.;Lilly, Jonathan M.
我们提出了一类新的单变量非平稳时间序列模型，使用调制的时间序列的框架，这是适合于快速演变的时间序列，以及时间序列观测数据缺失的分析。我们扩展我们的技术，一类二元时间序列是各向同性的。时间序列分析的精确推断通常在计算上是不可行的，因此我们提出了一种基于Whittle似然（一种常用的伪似然）的估计方法。我们的推理过程被证明是一致的标准假设下，以及具有相当低的计算成本比确切的可能性一般。我们展示了这个框架的实用性漂移仪器的分析，分析是关键的全球海洋环流特征，因此也为十年到百年尺度的气候理解。
We propose a new class of univariate non-stationary time series models, using the framework of modulated time series, which is appropriate for the analysis of rapidly evolving time series as well as time series observations with missing data. We extend our techniques to a class of bivariate time series that are isotropic. Exact inference is often not computationally viable for time series analysis, and so we propose an estimation method based on the Whittle likelihood, a commonly adopted pseudo-likelihood. Our inference procedure is shown to be consistent under standard assumptions, as well as having considerably lower computational cost than exact likelihood in general. We show the utility of this framework for the analysis of drifting instruments, an analysis that is key to characterizing global ocean circulation and therefore also for decadal to century-scale climate understanding.