IDEAS home Printed from https://ideas.repec.org/a/bla/jorssb/v79y2017i3p833-857.html
   My bibliography  Save this article

Continuous auto-regressive moving average random fields on ℝ-super-n

Author

Listed:
  • Peter J. Brockwell
  • Yasumasa Matsuda

Abstract

No abstract is available for this item.

Suggested Citation

  • Peter J. Brockwell & Yasumasa Matsuda, 2017. "Continuous auto-regressive moving average random fields on ℝ-super-n," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(3), pages 833-857, June.
    • Handle: RePEc:bla:jorssb:v:79:y:2017:i:3:p:833-857
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/rssb.12197
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Brockwell, Peter J. & Lindner, Alexander, 2009. "Existence and uniqueness of stationary Lévy-driven CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2660-2681, August.
    2. Montserrat Fuentes, 2002. "Spectral methods for nonstationary spatial processes," Biometrika, Biometrika Trust, vol. 89(1), pages 197-210, March.
    3. P. Brockwell, 2014. "Recent results in the theory and applications of CARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(4), pages 647-685, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pham, Viet Son, 2020. "Lévy-driven causal CARMA random fields," Stochastic Processes and their Applications, Elsevier, vol. 130(12), pages 7547-7574.
    2. Pham, Viet Son & Chong, Carsten, 2018. "Volterra-type Ornstein–Uhlenbeck processes in space and time," Stochastic Processes and their Applications, Elsevier, vol. 128(9), pages 3082-3117.
    3. Claudia Klüppelberg & Viet Son Pham, 2021. "Estimation of causal continuous‐time autoregressive moving average random fields," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(1), pages 132-163, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Peter J. Brockwell & Yasumasa Matsuda, 2015. "Levy-driven CARMA Random Fields on Rn," TERG Discussion Papers 339, Graduate School of Economics and Management, Tohoku University.
    2. Pham, Viet Son, 2020. "Lévy-driven causal CARMA random fields," Stochastic Processes and their Applications, Elsevier, vol. 130(12), pages 7547-7574.
    3. Tatiyana V. Apanasovich & David Ruppert & Joanne R. Lupton & Natasa Popovic & Nancy D. Turner & Robert S. Chapkin & Raymond J. Carroll, 2008. "Aberrant Crypt Foci and Semiparametric Modeling of Correlated Binary Data," Biometrics, The International Biometric Society, vol. 64(2), pages 490-500, June.
    4. Marcelo Cunha & Dani Gamerman & Montserrat Fuentes & Marina Paez, 2017. "A non-stationary spatial model for temperature interpolation applied to the state of Rio de Janeiro," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(5), pages 919-939, November.
    5. Vicky Fasen & Florian Fuchs, 2013. "Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 532-551, September.
    6. Sikora, Grzegorz & Michalak, Anna & Bielak, Łukasz & Miśta, Paweł & Wyłomańska, Agnieszka, 2019. "Stochastic modeling of currency exchange rates with novel validation techniques," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1202-1215.
    7. Martin Tingley & Benjamin Shaby, 2015. "Comments on: Comparing and selecting spatial predictors using local criteria," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(1), pages 47-53, March.
    8. Joaquim Henriques Vianna Neto & Alexandra M. Schmidt & Peter Guttorp, 2014. "Accounting for spatially varying directional effects in spatial covariance structures," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 63(1), pages 103-122, January.
    9. Fuentes, Montserrat, 2005. "A formal test for nonstationarity of spatial stochastic processes," Journal of Multivariate Analysis, Elsevier, vol. 96(1), pages 30-54, September.
    10. Li, Yang & Zhu, Zhengyuan, 2016. "Modeling nonstationary covariance function with convolution on sphere," Computational Statistics & Data Analysis, Elsevier, vol. 104(C), pages 233-246.
    11. Bai, Shuyang & Ginovyan, Mamikon S. & Taqqu, Murad S., 2016. "Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1036-1065.
    12. Spangenberg, Felix, 2013. "Strictly stationary solutions of ARMA equations in Banach spaces," Journal of Multivariate Analysis, Elsevier, vol. 121(C), pages 127-138.
    13. Christopher K. Wikle, 2003. "Hierarchical Models in Environmental Science," International Statistical Review, International Statistical Institute, vol. 71(2), pages 181-199, August.
    14. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    15. Szarek, Dawid & Bielak, Łukasz & Wyłomańska, Agnieszka, 2020. "Long-term prediction of the metals’ prices using non-Gaussian time-inhomogeneous stochastic process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
    16. Ashton Wiens & Douglas Nychka & William Kleiber, 2020. "Modeling spatial data using local likelihood estimation and a Matérn to spatial autoregressive translation," Environmetrics, John Wiley & Sons, Ltd., vol. 31(6), September.
    17. Tata Subba Rao & Granville Tunnicliffe Wilson & Joao Jesus & Richard E. Chandler, 2017. "Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 204-224, March.
    18. Nielsen, Mikkel Slot, 2020. "On non-stationary solutions to MSDDEs: Representations and the cointegration space," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 3154-3173.
    19. Basse-O’Connor, Andreas & Nielsen, Mikkel Slot & Pedersen, Jan & Rohde, Victor, 2019. "Multivariate stochastic delay differential equations and CAR representations of CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 4119-4143.
    20. Brockwell, Peter J. & Lindner, Alexander, 2015. "CARMA processes as solutions of integral equations," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 221-227.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jorssb:v:79:y:2017:i:3:p:833-857. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/rssssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.