I have historic time series of 40 years of many weather variables. Call each variable's time series A, B, C ... Z for simplicity.
I want to use all 40 year time series for training with the intention of reproducing stochastic and synthetic time series.
Now i can use simple Markov chain or Monte Carlo approaches for individual variables with great success. However, the relationships between the variables will not be maintained.
I need all variables to relate, such that A has a strong connection to B, but not to C etc.
So when I stochastically generate A, I want that to influence B and not C.
What is the best method to simulate complex inter-dependencies?
Stretch goal: how can this be done in Python 3??
Thanks for any and all help!
Best,
Jamie