| Summary: | Modelling and estimating spatio-temporal dynamic field are common challenges in much applied research. Most existing spatio-temporal interpolation methods require massive prior calculations and consistent observational data, resulting in low interpolation efficiency. This paper presents a flexible state-space model for iteratively fitting time-series from random missing points in data sets, namely Flexible Universal Kriging state-space model(FUKSS). In this work, a recursive method similar to Kalman filter is used to estimate the time-series, avoiding the problem of increasing data caused by Kriging space-time extension. Based on the statistical characteristics of Kriging, this method introduces a spatial selection matrix to make the different observation data and state vectors identical at different times, which solves the problem of missing data and reduces the calculation complexity. In addition, a dynamic linear autoregressive model is introduced to solve the problem that the universal Kriging state-space model cannot predict. We have demonstrated the superiority of our method by comparing it with different methods through experiments, and verified the effectiveness of this method through practical cases.
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