Modeling process asymmetries with Laplace moving average. (English) Zbl 1507.62149
Summary: Many records in environmental science exhibit asymmetries: for example in shallow water and with variable bathymetry, the sea wave time series shows front-back asymmetries and different shapes for crests and troughs. In such situation, numerical models are available but their computational cost and complexity are high. A stochastic process aimed at modeling such asymmetries has recently been proposed, the Laplace moving average process, which consists in applying a linear filter on a non-Gaussian noise built using the generalized Laplace distribution. The objective is to propose a new non-parametric estimator for the kernel involved in the definition of this process. Results based on a comprehensive numerical study will be shown in order to evaluate the performances of the proposed method.
MSC:
| 62-08 | Computational methods for problems pertaining to statistics |
| 62M15 | Inference from stochastic processes and spectral analysis |
| 62P12 | Applications of statistics to environmental and related topics |
Keywords:
Laplace moving average; nonlinear time series; FIR estimation; splines; high-order spectrum; asymmetriesReferences:
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