A propagation-separation approach to estimate the autocorrelation in a time-series
The paper presents an approach to estimate parameters of a local stationary AR(1) time series model by maximization of a local likelihood function. The method is based on a propagation-separation procedure that leads to data dependent weights defining the local model. Using free propagation of weigh...
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Online Access: | https://doi.org/10.34657/4139 https://oa.tib.eu/renate/handle/123456789/5510 |
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ftleibnizopen:oai:oai.leibnizopen.de:IjA974cBdbrxVwz6SMhb 2023-06-11T04:14:38+02:00 A propagation-separation approach to estimate the autocorrelation in a time-series Divine, D.V. Polzehl, J. Godtliebsen, F. 2008 application/pdf https://doi.org/10.34657/4139 https://oa.tib.eu/renate/handle/123456789/5510 eng eng Göttingen : Copernicus CC BY 3.0 Unported https://creativecommons.org/licenses/by/3.0/ Nonlinear Processes in Geophysics 15 (2008), Nr. 4 El Nino-Southern Oscillation estimation method GRIP hydrological modeling North Atlantic Oscillation reconstruction stable isotope time series 530 article Text 2008 ftleibnizopen https://doi.org/10.34657/4139 2023-05-07T23:28:18Z The paper presents an approach to estimate parameters of a local stationary AR(1) time series model by maximization of a local likelihood function. The method is based on a propagation-separation procedure that leads to data dependent weights defining the local model. Using free propagation of weights under homogeneity, the method is capable of separating the time series into intervals of approximate local stationarity. Parameters in different regions will be significantly different. Therefore the method also serves as a test for a stationary AR(1) model. The performance of the method is illustrated by applications to both synthetic data and real time-series of reconstructed NAO and ENSO indices and GRIP stable isotopes. publishedVersion Article in Journal/Newspaper North Atlantic North Atlantic oscillation LeibnizOpen (The Leibniz Association) |
institution |
Open Polar |
collection |
LeibnizOpen (The Leibniz Association) |
op_collection_id |
ftleibnizopen |
language |
English |
topic |
El Nino-Southern Oscillation estimation method GRIP hydrological modeling North Atlantic Oscillation reconstruction stable isotope time series 530 |
spellingShingle |
El Nino-Southern Oscillation estimation method GRIP hydrological modeling North Atlantic Oscillation reconstruction stable isotope time series 530 Divine, D.V. Polzehl, J. Godtliebsen, F. A propagation-separation approach to estimate the autocorrelation in a time-series |
topic_facet |
El Nino-Southern Oscillation estimation method GRIP hydrological modeling North Atlantic Oscillation reconstruction stable isotope time series 530 |
description |
The paper presents an approach to estimate parameters of a local stationary AR(1) time series model by maximization of a local likelihood function. The method is based on a propagation-separation procedure that leads to data dependent weights defining the local model. Using free propagation of weights under homogeneity, the method is capable of separating the time series into intervals of approximate local stationarity. Parameters in different regions will be significantly different. Therefore the method also serves as a test for a stationary AR(1) model. The performance of the method is illustrated by applications to both synthetic data and real time-series of reconstructed NAO and ENSO indices and GRIP stable isotopes. publishedVersion |
format |
Article in Journal/Newspaper |
author |
Divine, D.V. Polzehl, J. Godtliebsen, F. |
author_facet |
Divine, D.V. Polzehl, J. Godtliebsen, F. |
author_sort |
Divine, D.V. |
title |
A propagation-separation approach to estimate the autocorrelation in a time-series |
title_short |
A propagation-separation approach to estimate the autocorrelation in a time-series |
title_full |
A propagation-separation approach to estimate the autocorrelation in a time-series |
title_fullStr |
A propagation-separation approach to estimate the autocorrelation in a time-series |
title_full_unstemmed |
A propagation-separation approach to estimate the autocorrelation in a time-series |
title_sort |
propagation-separation approach to estimate the autocorrelation in a time-series |
publisher |
Göttingen : Copernicus |
publishDate |
2008 |
url |
https://doi.org/10.34657/4139 https://oa.tib.eu/renate/handle/123456789/5510 |
genre |
North Atlantic North Atlantic oscillation |
genre_facet |
North Atlantic North Atlantic oscillation |
op_source |
Nonlinear Processes in Geophysics 15 (2008), Nr. 4 |
op_rights |
CC BY 3.0 Unported https://creativecommons.org/licenses/by/3.0/ |
op_doi |
https://doi.org/10.34657/4139 |
_version_ |
1768392779234279424 |