Publication:
Weather modelling using a multivariate latent Gaussian model

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2001-03
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We propose a vector autoregressive moving average process as a model for daily weather data. For the rainfall variable a monotonic transformation is applied to achieve marginal normality, thus defining a latent variable, with zero rainfall data corresponding to censored values below a threshold. Methodology is presented for model identification, estimation and validation, illustrated using data from Mynefield, Scotland. The new model, a VARMA(2,1) process, fits the data and produces more realistic simulated series than existing methods dur to Richardson (1981) and Peiris and McNicol (1996).
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