Time-varying STARMA models by wavelets

04/12/2023

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by   Yangyang Chen, et al.

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The spatio-temporal autoregressive moving average (STARMA) model is frequently used in several studies of multivariate time series data, where the assumption of stationarity is important, but it is not always guaranteed in practice. One way to proceed is to consider locally stationary processes. In this paper we propose a time-varying spatio-temporal autoregressive and moving average (tvSTARMA) modelling based on the locally stationarity assumption. The time-varying parameters are expanded as linear combinations of wavelet bases and procedures are proposed to estimate the coefficients. Some simulations and an application to historical daily precipitation records of Midwestern states of the USA are illustrated.