Optimal Modeling and Filtering of Stochastic Time Series for Geoscience Applications
| dc.contributor.author | Blais, J. A. Rod | |
| dc.date.accessioned | 2018-09-27T11:40:38Z | |
| dc.date.available | 2018-09-27T11:40:38Z | |
| dc.date.issued | 2013-05-16 | |
| dc.date.updated | 2018-09-27T11:40:38Z | |
| dc.description.abstract | Sequences of observations or measurements are often modeled as realizations of stochastic processes with some stationary properties in the first and second moments. However in practice, the noise biases and variances are likely to be different for different epochs in time or regions in space, and hence such stationarity assumptions are often questionable. In the case of strict stationarity with equally spaced data, the Wiener-Hopf equations can readily be solved with fast Fourier transforms (FFTs) with optimal computational efficiency. In more general contexts, covariance matrices can also be diagonalized using the Karhunen-Loève transforms (KLTs), or more generally using empirical orthogonal and biorthogonal expansions, which are unfortunately much more demanding in terms of computational efforts. In cases with increment stationarity, the mathematical modeling can be modified and generalized covariances can be used with some computational advantages. The general nonlinear solution methodology is also briefly overviewed with the practical limitations. These different formulations are discussed with special emphasis on the spectral properties of covariance matrices and illustrated with some numerical examples. General recommendations are included for practical geoscience applications. | |
| dc.description.version | Peer Reviewed | |
| dc.identifier.citation | J. A. Rod Blais, “Optimal Modeling and Filtering of Stochastic Time Series for Geoscience Applications,” Mathematical Problems in Engineering, vol. 2013, Article ID 895061, 8 pages, 2013. doi:10.1155/2013/895061 | |
| dc.identifier.doi | https://doi.org/10.1155/2013/895061 | |
| dc.identifier.uri | http://hdl.handle.net/1880/108259 | |
| dc.identifier.uri | https://doi.org/10.11575/PRISM/45131 | |
| dc.language.rfc3066 | en | |
| dc.rights.holder | Copyright © 2013 J. A. Rod Blais. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. | |
| dc.title | Optimal Modeling and Filtering of Stochastic Time Series for Geoscience Applications | |
| dc.type | Journal Article |