20,007 research outputs found
Stochastic partial differential equation based modelling of large space-time data sets
Increasingly larger data sets of processes in space and time ask for
statistical models and methods that can cope with such data. We show that the
solution of a stochastic advection-diffusion partial differential equation
provides a flexible model class for spatio-temporal processes which is
computationally feasible also for large data sets. The Gaussian process defined
through the stochastic partial differential equation has in general a
nonseparable covariance structure. Furthermore, its parameters can be
physically interpreted as explicitly modeling phenomena such as transport and
diffusion that occur in many natural processes in diverse fields ranging from
environmental sciences to ecology. In order to obtain computationally efficient
statistical algorithms we use spectral methods to solve the stochastic partial
differential equation. This has the advantage that approximation errors do not
accumulate over time, and that in the spectral space the computational cost
grows linearly with the dimension, the total computational costs of Bayesian or
frequentist inference being dominated by the fast Fourier transform. The
proposed model is applied to postprocessing of precipitation forecasts from a
numerical weather prediction model for northern Switzerland. In contrast to the
raw forecasts from the numerical model, the postprocessed forecasts are
calibrated and quantify prediction uncertainty. Moreover, they outperform the
raw forecasts, in the sense that they have a lower mean absolute error
Data Assimilation: A Mathematical Introduction
These notes provide a systematic mathematical treatment of the subject of
data assimilation
Dynamic Iterative Pursuit
For compressive sensing of dynamic sparse signals, we develop an iterative
pursuit algorithm. A dynamic sparse signal process is characterized by varying
sparsity patterns over time/space. For such signals, the developed algorithm is
able to incorporate sequential predictions, thereby providing better
compressive sensing recovery performance, but not at the cost of high
complexity. Through experimental evaluations, we observe that the new algorithm
exhibits a graceful degradation at deteriorating signal conditions while
capable of yielding substantial performance gains as conditions improve.Comment: 6 pages, 7 figures. Accepted for publication in IEEE Transactions on
Signal Processin
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