A multivariate time series model for the analysis and prediction of carbon monoxide atmospheric concentrations

Stefano Tonellato ()

Journal of the Royal Statistical Society Series C, 2001, vol. 50, issue 2, 187-200

Abstract: We use a Bayesian multivariate time series model for the analysis of the dynamics of carbon monoxide atmospheric concentrations. The data are observed at four sites. It is assumed that the logarithm of the observed process can be represented as the sum of unobservable components: a trend, a daily periodicity, a stationary autoregressive signal and an erratic term. Bayesian analysis is performed via Gibbs sampling. In particular, we consider the problem of joint temporal prediction when data are observed at a few sites and it is not possible to fit a complex space–time model. A retrospective analysis of the trend component is also given, which is important in that it explains the evolution of the variability in the observed process.

Date: 2001
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