Modeling Geodetic Processes with Levy α-Stable Distribution and FARIMA

Jean Philippe Montillet, Kegen Yu*

*Corresponding author for this work

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

Over the last years the scientific community has been using the autoregressive moving average (ARMA) model in the modeling of the noise in global positioning system (GPS) time series (daily solution). This work starts with the investigation of the limit of the ARMA model which is widely used in signal processing when the measurement noise is white. Since a typical GPS time series consists of geophysical signals (e.g., seasonal signal) and stochastic processes (e.g., coloured and white noise), the ARMA model may be inappropriate. Therefore, the application of the fractional auto-regressive integrated moving average (FARIMA) model is investigated. The simulation results using simulated time series as well as real GPS time series from a few selected stations around Australia show that the FARIMA model fits the time series better than other models when the coloured noise is larger than the white noise. The second fold of this work focuses on fitting the GPS time series with the family of Levy $$\alpha $$α-stable distributions. Using this distribution, a hypothesis test is developed to eliminate effectively coarse outliers from GPS time series, achieving better performance than using the rule of thumb of $$n$$n standard deviations (with $$n$$n chosen empirically).

Original languageEnglish
Pages (from-to)627-646
Number of pages20
JournalMathematical Geosciences
Volume47
Issue number6
DOIs
Publication statusPublished - 23 Aug 2015
Externally publishedYes

Keywords

  • ARMA
  • Coloured noise
  • Fractional ARIMA
  • GPS
  • Hurst parameter
  • Hypothesis test
  • Outliers
  • Time series analysis

Fingerprint Dive into the research topics of 'Modeling Geodetic Processes with Levy α-Stable Distribution and FARIMA'. Together they form a unique fingerprint.

  • Cite this