R-vine models for spatial time series with an application to daily mean temperature
From MaRDI portal
Publication:3459928
DOI10.1111/BIOM.12279zbMATH Open1390.62326arXiv1403.3500OpenAlexW1532001286WikidataQ41466582 ScholiaQ41466582MaRDI QIDQ3459928FDOQ3459928
Authors: Tobias Michael Erhardt, Claudia Czado, Ulf Schepsmeier 
Publication date: 11 January 2016
Published in: Biometrics (Search for Journal in Brave)
Abstract: We introduce an extension of R-vine copula models for the purpose of spatial dependency modeling and model based prediction at unobserved locations. The newly derived spatial R-vine model combines the flexibility of vine copulas with the classical geostatistical idea of modeling spatial dependencies by means of the distances between the variable locations. In particular the model is able to capture non-Gaussian spatial dependencies. For the purpose of model development and as an illustration we consider daily mean temperature data observed at 54 monitoring stations in Germany. We identify a relationship between the vine copula parameters and the station distances and exploit it in order to reduce the huge number of parameters needed to parametrize a 54-dimensional R-vine model needed to fit the data. The new distance based model parametrization results in a distinct reduction in the number of parameters and makes parameter estimation and prediction at unobserved locations feasible. The prediction capabilities are validated using adequate scoring techniques, showing a better performance of the spatial R-vine copula model compared to a Gaussian spatial model.
Full work available at URL: https://arxiv.org/abs/1403.3500
Recommendations
- Spatial composite likelihood inference using local C-vines
- A copula model for non-Gaussian multivariate spatial data
- Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models
- Factor copula models for replicated spatial data
- Analyzing dependent data with vine copulas. A practical guide with R
Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Applications of statistics to environmental and related topics (62P12)
Cites Work
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Statistics for spatio-temporal data
- Truncated regular vines in high dimensions with application to financial data
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Comparison of semiparametric and parametric methods for estimating copulas
- Vines -- a new graphical model for dependent random variables.
- Handbook of spatial statistics.
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Selection of vine copulas
Cited In (18)
- Knowledge Learning of Insurance Risks Using Dependence Models
- Modeling spatial tail dependence with Cauchy convolution processes
- Spatial pair-copula model of grade for an anisotropic gold deposit
- Variational inference for high dimensional structured factor copulas
- Modelling mortality dependence: an application of dynamic vine copula
- Copula diagnostics for asymmetries and conditional dependence
- Spatial composite likelihood inference using local C-vines
- Forecasting time series with multivariate copulas
- A spatio-temporal model for assessing winter damage risk to east coast vineyards
- A Composite Likelihood-Based Approach for Change-Point Detection in Spatio-Temporal Processes
- Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines
- Analysis of paediatric visual acuity using Bayesian copula models with sinh-arcsinh marginal densities
- Generalized Additive Models for Pair-Copula Constructions
- Intermuscular coupling network analysis of upper limbs based on R-vine copula transfer entropy
- Factor copula approaches for assessing spatially dependent high-dimensional risks
- A Dynamic Stochastic Integrated Climate–Economic Spatiotemporal Model for Agricultural Insurance Products
- Sequential truncation of \(R\)-vine copula mixture model for high-dimensional datasets
- A mixture of regular vines for multiple dependencies
Uses Software
This page was built for publication: R-vine models for spatial time series with an application to daily mean temperature
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3459928)
