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Spatio-temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference

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  • Michele Nguyen
  • Almut E. D. Veraart

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  • Michele Nguyen & Almut E. D. Veraart, 2017. "Spatio-temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(1), pages 46-80, March.
    • Handle: RePEc:bla:scjsta:v:44:y:2017:i:1:p:46-80
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    File URL: http://hdl.handle.net/10.1111/sjos.12241
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    References listed on IDEAS

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    1. Anders Brix & Peter J. Diggle, 2001. "Spatiotemporal prediction for log‐Gaussian Cox processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(4), pages 823-841.
    2. Yun Bai & Peter X.-K. Song & T. E. Raghunathan, 2012. "Joint composite estimating functions in spatiotemporal models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 74(5), pages 799-824, November.
    3. Richard A. Davis & Claudia Klüppelberg & Christina Steinkohl, 2013. "Statistical inference for max-stable processes in space and time," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(5), pages 791-819, November.
    4. Ole E. Barndorff‐Nielsen & Neil Shephard, 2001. "Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
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    Cited by:

    1. Leonte, Dan & Veraart, Almut E.D., 2024. "Simulation methods and error analysis for trawl processes and ambit fields," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 215(C), pages 518-542.
    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.

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