Modelling spatio-temporal variability of temperature

DOI10.1007/S00180-015-0561-2MaRDI QIDQ740085zbMATH OpenOpenAlexFDO

Authors Ostap Okhrin, Martin Odening, Matthias Ritter, Xiao-Feng Cao

Publication date 12 August 2016

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2014-020.pdf

zbMATH Keywords

factor modelsemiparametric modelKriginggeographic basis riskweather insurance

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 272681 (Why is no real title available?)
• A semiparametric factor model for CDO surfaces dynamics
• Dynamic models for spatiotemporal data
• Dynamic semiparametric factor models in risk neutral density estimation
• Generalized dynamic semi-parametric factor models for high-dimensional non-stationary time series
• Interpolation methods comparison
• Statistics for spatio-temporal data
• Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
• Time series modelling with semiparametric factor dynamics
• Weather Forecasting for Weather Derivatives

Cited in

(11)

• Spatial-temporal modelling of temperature for pricing temperature index insurance
• Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature
• scientific article; zbMATH DE number 2165176 (Why is no real title available?)
• Remote Sensing Applications for Insurance: A Predictive Model for Pasture Yield in the Presence of Systemic Weather
• A Dynamic Stochastic Integrated Climate–Economic Spatiotemporal Model for Agricultural Insurance Products
• Space‐time modelling of trends in temperature series
• Multivariate bioclimatic indices modelling: a coregionalised approach
• Editorial to the special issue on applicable semiparametrics of computational statistics
• Mitigating geographical basis risk of weather derivatives using spatial-temporal regime-switching temperature model
• The impact of spatial interpolation techniques on spatial basis risk for weather insurance: an application to forage crops
• Kriging methods for modeling spatial basis risk in weather index insurances: a technical note

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