Éditeur(s) : HAL CCSD
Résumé : 15 pages
A Stochastic Differential Equation appearing in the statistical theory of turbulence is extended in random environment by assuming that its two parameters are switched by an unobserved continuoustime Markov chain whose states represent the states of the environment. A Dirichlet process is placed as a prior on the space of the sample paths of this chain, leading to a hierarchical Dirichlet model whose estimation is done both on simulated data and on real data of wind speed measured at the entrance of a mangrove ecosystem.
https://hal.archives-ouvertes.fr/hal-00455050

hal-00455050
https://hal.archives-ouvertes.fr/hal-00455050
https://hal.archives-ouvertes.fr/hal-00455050/document
https://hal.archives-ouvertes.fr/hal-00455050/file/CSDA06_Srik_Hal.pdf

Éditeur(s) : HAL CCSD
Résumé : 27 pages
Cascade Stochastic Differential Equation (SDE), a continuous time model for energy dissipation in turbulence, is a generalization of the Yaglom discrete cascade model. We extend this SDE to a model in random environment by assuming that its two parameters are switched by a continuous time Markov chain whose states represent the states of the environment. Moreover, a Dirichlet process is placed as a prior on the space of sample paths of this chain. We propose a Bayesian estimation method of this model which is tested both on simulated data and on real data of wind speed measured at the entrance of the mangrove ecosystem in Guadeloupe.
https://hal.archives-ouvertes.fr/hal-00286131

hal-00286131
https://hal.archives-ouvertes.fr/hal-00286131
https://hal.archives-ouvertes.fr/hal-00286131/document
https://hal.archives-ouvertes.fr/hal-00286131/file/Srik11_PhysicaDDspace.pdf