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Gaussian linear state‐space model for wind fields in the North‐East Atlantic

A multisite stochastic generator for wind speed is proposed. It aims at simulating realistic wind conditions with a focus on reproducing the space–time motions of the meteorological systems. A Gaussian linear state‐space model is used where the latent state may be interpreted as regional wind conditions and the observation equation links regional and local scales. Parameter estimation is performed by combining a method of moments and the expectation‐maximization algorithm. The model is fitted to 6‐hourly reanalysis data in the North‐East Atlantic. It is shown that the fitted model is interpretable and provides a good description of important properties of the space–time covariance function of the data, such as the non‐full symmetry induced by prevailing flows in this area. Copyright © 2014 John Wiley & Sons, Ltd.