Gaussian linear state-space model for wind fields in the North-East Atlantic

Julie Bessac (1) , Pierre Ailliot (2) , Valérie Monbet (3, 1)

1 IRMAR - Institut de Recherche Mathématique de Rennes
2 LM - Laboratoire de mathématiques de Brest
3 ASPI - Applications of interacting particle systems to statistics

A multisite stochastic generator for wind speed is proposed. It aims at simulating realistic wind conditions with a focus on reproducing the space-time motions of the meteorological systems. A Gaussian linear state-space model is used where the latent state may be interpreted as regional wind conditions and the observation equation links regional 1 and local scales. Parameter estimation is performed by combining a method of moments and the EM algorithm. The model is fitted to 6-hourly reanalysis data in the North-East Atlantic. It is shown that the fitted model is interpretable and provides a good description of important properties of the space-time covariance function of the data, such as the non full-symmetry induced by prevailing flows in this area.

Mots clés: Identifiability; State-space model; EM algorithm; Multisite wind generators; Space-time model

Domaines: Statistiques [math.ST]; Probabilités [math.PR]

Julie Bessac, Pierre Ailliot, Valérie Monbet. Gaussian linear state-space model for wind fields in the North-East Atlantic. Environmetrics, 2015, 26 (1), pp.29--38. ⟨10.1002/env.2299⟩. ⟨hal-01100142⟩