Spatial stochastic volatility for lattice data

DOI10.1198/108571107X178068MaRDI QIDQ2259630zbMATH OpenOpenAlexFDO

Authors Jun Yan

Publication date 5 March 2015

Published in Journal of Agricultural, Biological and Environmental Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/108571107x178068

zbMATH Keywords

conditional autoregressive modelMarkov chain Monte Carlostochastic volatilityspatial heteroscedasticitywheat yield data

Mathematics Subject Classification ID

Applications of statistics to environmental and related topics (62P12)

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Cites work

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• scientific article; zbMATH DE number 806799 (Why is no real title available?)
• Bayesian Measures of Model Complexity and Fit
• Bayesian image restoration, with two applications in spatial statistics (with discussion)
• Frailty modeling for spatially correlated survival data, with application to infant mortality in Minnesota
• ON STATIONARY PROCESSES IN THE PLANE
• On the precision of the conditionally autoregressive prior in spatial models
• Spatial Modeling With Spatially Varying Coefficient Processes
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

Cited in

(8)

• Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
• Hybrid simulation scheme for volatility modulated moving average fields
• Spatial data analysis for discrete data on a lattice
• Spatially varying SAR models and Bayesian inference for high-resolution lattice data
• A class of stochastic volatility models for environmental applications
• Modeling Longitudinal Spatial Periodontal Data: A Spatially Adaptive Model with Tools for Specifying Priors and Checking Fit
• A general Bayesian model for heteroskedastic data with fully conjugate full-conditional distributions
• Heteroscedastic asymmetric spatial processes

Describes a project that uses

Uses Software

• spBayes
• BUGS
• R

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