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arXiv · 1609.04682

Modelling spatial heteroskedasticity by volatility modulated moving averages

Michele Nguyen·Almut E. D. Veraart
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Abstract

Spatial heteroskedasticity refers to stochastically changing variances and covariances in space. Such features have been observed in, for example, air pollution and vegetation data. We study how volatility modulated moving averages can model this by developing theory, simulation and statistical inference methods. For illustration, we also apply our procedure to sea surface temperature anomaly data from the International Research Institute for Climate and Society.

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Michele Nguyen, Almut E. D. Veraart. 2016-09-15. Modelling spatial heteroskedasticity by volatility modulated moving averages. https://doi.org/10.1016/j.spasta.2017.03.006

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