Spatio‐temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference

DOI10.1111/SJOS.12241MaRDI QIDQ2965535zbMATH OpenOpenAlexFDO

Authors Michele Nguyen, Almut E. D. Veraart

Publication date 3 March 2017

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.08327

zbMATH Keywords

spatio-temporal modellingOrnstein-Uhlenbeck processesstochastic simulationmoments-based inference

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Inference from spatial processes (62M30) Random fields (60G60)

Abstract: Spatio-temporal modelling is an increasingly popular topic in Statistics. Our paper contributes to this line of research by developing the theory, simulation and inference for a spatio-temporal Ornstein-Uhlenbeck process. We conduct detailed simulation studies and demonstrate the practical relevance of these processes in an empirical study of radiation anomaly data. Finally, we describe how predictions can be carried out in the Gaussian setting.

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Cited in

(9)

• Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein–Uhlenbeck processes
• High-frequency analysis of parabolic stochastic PDEs
• Statistical inference for stochastic differential equations
• Temporal and spatially heterogeneous finite length runs analysis
• Volterra-type Ornstein-Uhlenbeck processes in space and time
• Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields
• Simulation methods and error analysis for trawl processes and ambit fields
• High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process
• Modeling of Spatio-Temporal Hawkes Processes With Randomized Kernels

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