A multivariate stochastic model for the generation of synthetic time series at multiple time scales reproducing long-term persistence

A. Efstratiadis, Y. Dialynas, S. Kozanis, and D. Koutsoyiannis, A multivariate stochastic model for the generation of synthetic time series at multiple time scales reproducing long-term persistence, Environmental Modelling and Software, 62, 139–152, doi:10.1016/j.envsoft.2014.08.017, 2014.



A time series generator is presented, employing a robust three-level multivariate scheme for stochastic simulation of correlated processes. It preserves the essential statistical characteristics of historical data at three time scales (annual, monthly, daily), using a disaggregation approach. It also reproduces key properties of hydrometeorological and geophysical processes, namely the long-term persistence (Hurst-Kolmogorov behaviour), the periodicity and intermittency. Its efficiency is illustrated through two case studies in Greece. The first aims to generate monthly runoff and rainfall data at three reservoirs of the hydrosystem of Athens. The second involves the generation of daily rainfall for flood simulation at five rain gauges. In the first emphasis is given to long-term persistence – a dominant characteristic in the management of large-scale hydrosystems, comprising reservoirs with carry-over storage capacity. In the second we highlight to the consistent representation of intermittency and asymmetry of daily rainfall, and the distribution of annual daily maxima.

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See also: http://dx.doi.org/10.1016/j.envsoft.2014.08.017

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Tagged under: Stochastic disaggregation, Hurst-Kolmogorov dynamics, Software, Stochastics, Students' works