Spatio-temporal Ornstein-Uhlenbeck processes: theory, simulation and statistical inference

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Title: Spatio-temporal Ornstein-Uhlenbeck processes: theory, simulation and statistical inference
Authors: Nguyen, M
Veraart, A
Item Type: Journal Article
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.
Issue Date: 15-Sep-2016
Date of Acceptance: 16-Mar-2016
URI: http://hdl.handle.net/10044/1/30599
DOI: https://dx.doi.org/10.1111/sjos.12241
ISSN: 1467-9469
Publisher: Wiley
Start Page: 46
End Page: 80
Journal / Book Title: Scandinavian Journal of Statistics
Volume: 44
Issue: 1
Copyright Statement: © 2016 Board of the Foundation of the Scandinavian Journal of Statistics
Sponsor/Funder: Commission of the European Communities
Imperial College London
Funder's Grant Number: FP7-PEOPLE-2012-CIG-321707
Keywords: Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
moments-based inference
Ornstein-Uhlenbeck processes
spatio-temporal modelling
stochastic simulation
INFINITELY DIVISIBLE PROCESSES
MODELS
0104 Statistics
Statistics & Probability
Publication Status: Published
Appears in Collections:Mathematics
Statistics
Faculty of Natural Sciences



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