Multiscale realization and estimation for space and space-time problems

Although there have been significant advances in realization techniques for a class of multiscale stochastic models introduced by Willsky, Benveniste, Chou, et al. (1994), there remain a number of important open problems. We address two of them in this paper. The first is a new static realization method that is two orders of magnitude more efficient than methods previously available, but no less general. The second is the extension of this multiscale methodology to modeling dynamic systems