Dynamic models for spatiotemporal data

We propose a model for non‐stationary spatiotemporal data. To account for spatial variability, we model the mean function at each time period as a locally weighted mixture of linear regressions. To incorporate temporal variation, we allow the regression coefficients to change through time. The model is cast in a Gaussian state space framework, which allows us to include temporal components such as trends, seasonal effects and autoregressions, and permits a fast implementation and full probabilistic inference for the parameters, interpolations and forecasts. To illustrate the model, we apply it to two large environmental data sets: tropical rainfall levels and Atlantic Ocean temperatures.