Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature

International audienceMultivariate time series are of interest in many fields including economics and environment. The dynamical processes occurring in these domains often exhibit regimes so that it is common to describe them using Markov Switching vector autoregressive processes. However the estimation of such models is difficult even when the dimension is not so high because of the number of parameters involved. In this paper we propose to use a Smoothly Clipped Absolute DEviation (SCAD) penalization of the likelihood to shrink the parameters. The Expectation Maximization algorithm build for maximizing the penalized likelihood is described in details and tested on daily mean temperature time series

Markov-switching autoregressive models for wind time series

International audienceIn this paper, non-homogeneous Markov-Switching Autoregressive (MS-AR) models are proposed to describe wind time series. In these models, several au-toregressive 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 inter-annual 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 im-portant properties of the data such as the marginal distributions, the second-order structure or the length of the stormy and calm periods

Non-homogeneous hidden Markov-switching models for wind time series

International audienceIn this paper we propose various Markov-switching auotoregressive models for bivariate time series which describe wind conditions at a single location. The main originality of the proposed models is that the hidden Markov chain is not homogeneous, its evolution depending on the past wind conditions. It is shown that they permit to reproduce complex features of wind time series such as non-linear dynamics and the multimodal marginal distributions

Combining analog method and ensemble data assimilation: application to the Lorenz-63 chaotic system

International audienceNowadays, ocean and atmosphere sciences face a deluge of data from space, in situ monitoring as well as numerical simulations. The availability of these different data sources offer new opportunities, still largely underexploited, to improve the understanding,modeling and reconstruction of geophysical dynamics. The classical way to reconstruct the space-time variations of a geophysical system from observations relies on data assimilation methods using multiple runs of the known dynamical model. This classical framework may have severe limitations including its computational cost, the lack of adequacy of the model with observed data, modeling uncertainties. In this paper, we explore an alternative approach and develop a fully data-driven framework, which combines machine learning and statistical sampling to simulate the dynamics of complex system. As a proof concept, we address the assimilation of the chaotic Lorenz-63 model. We demonstrate that a nonparametric sampler from a catalog of historical datasets, namely a nearest neighbor or analog sampler, combined with a classical stochastic data assimilation scheme, the ensemble Kalman filter and smoother, reach state-of-the-art performances, without online evaluations of the physical model

Quelques apports à la modélisation stochastique en océanographie et météorologie

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Evolution morphodynamique cross-shore d'un estran vaseux

National audienc

Editorial to the special issue on stochastic weather generators

Numéro spécial : Génération aléatoire de conditions météorologiquesInternational audienc