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

DOI10.1111/sjos.12241zbMath1394.60052arXiv1504.08327OpenAlexW3125545494MaRDI QIDQ2965535

Almut E. D. Veraart, Michele Nguyen

Publication date: 3 March 2017

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.08327

zbMATH Keywords

stochastic simulationOrnstein-Uhlenbeck processesspatio-temporal modellingmoments-based inference

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random fields (60G60) Inference from spatial processes (62M30)

Related Items (6)

Volterra-type Ornstein-Uhlenbeck processes in space and time ⋮ Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields ⋮ Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein–Uhlenbeck processes ⋮ Simulation methods and error analysis for trawl processes and ambit fields ⋮ High-frequency analysis of parabolic stochastic PDEs ⋮ High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process

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