A class of stochastic volatility models for environmental applications

DOI10.1111/J.1467-9892.2011.00735.XMaRDI QIDQ5495683zbMATH OpenOpenAlexFDO

Authors Wenying Huang, Ke Wang, F. Jay Breidt, Richard A. Davis

Publication date 6 August 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2011.00735.x

zbMATH Keywords

covariance functionGaussian processimportance samplinglatent processnon-stationaritynugget effectstochastic volatility

Mathematics Subject Classification ID

Gaussian processes (60G15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Applications of statistics to environmental and related topics (62P12) Geostatistics (86A32)

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Cites work

• Bayesian Inference for Non-Stationary Spatial Covariance Structure via Spatial Deformations
• Calibrated Probabilistic Forecasting at the Stateline Wind Energy Center
• Classes of Nonseparable, Spatio-Temporal Stationary Covariance Functions
• scientific article; zbMATH DE number 5070674 (Why is no real title available?)
• scientific article; zbMATH DE number 1350773 (Why is no real title available?)
• Interpolation of spatial data. Some theory for kriging
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Multiresolution models for nonstationary spatial covariance functions
• Non-Gaussian Bayesian Geostatistical Modeling
• Nonseparable, Stationary Covariance Functions for Space–Time Data
• Pseudo maximum likelihood estimation: Theory and applications
• Some covariance models based on normal scale mixtures
• Spatial stochastic volatility for lattice data
• Spatio-temporal covariance functions generated by mixtures
• The Influence Curve and Its Role in Robust Estimation
• Weather Forecasting for Weather Derivatives

Cited in

(13)

• Composite Gaussian process models for emulating expensive functions
• Hybrid simulation scheme for volatility modulated moving average fields
• Spatial stochastic volatility for lattice data
• Environmental variability and mean-reverting processes
• Energy consumption and environmental pollution: a stochastic model
• scientific article; zbMATH DE number 6870542 (Why is no real title available?)
• Stochastics of environmental and financial economics. Centre of Advanced Study, Oslo, Norway, 2014--2015
• Space‐time modelling of trends in temperature series
• Simulation methods and error analysis for trawl processes and ambit fields
• Wavelet-\(L_2 E\) stochastic volatility models: an application to the water-energy nexus
• Heteroscedastic asymmetric spatial processes
• Active learning via heteroskedastic rational kriging
• Multivariate volatility in environmental finance

Describes a project that uses

Uses Software

• spBayes
• spatial

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