Spatio‐temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference. (15th September 2016)

• Record Type: Journal Article
• Authors: Nguyen, Michele; Veraart, Almut E. D.
• Is Part Of: Scandinavian journal of statistics. Volume 44:Number 1(2017:Mar.)
• Page Start: 46
• Page End: 80
• Publication Date: 2016-09-15
• Subjects: moments‐based inference -- Ornstein–Uhlenbeck processes -- spatio‐temporal modelling -- stochastic simulation; Statistics -- Periodicals; 310
• DOI: 10.1111/sjos.12241
• Languages: English
• ISSNs: 0303-6898

Abstract

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.