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- W3100019111 abstract "While short-range dependence is widely assumed in the literature for its simplicity, long-range dependence is a feature that has been observed in data from finance, hydrology, geophysics and economics. In this paper, we extend a L'evy-driven spatio-temporal Ornstein-Uhlenbeck process by randomly varying its rate parameter to model both short-range and long-range dependence. This particular set-up allows for non-separable spatio-temporal correlations which are desirable for real applications, as well as flexible spatial covariances which arise from the shapes of influence regions. Theoretical properties such as spatio-temporal stationarity and second-order moments are established. An isotropic g-class is also used to illustrate how the memory of the process is related to the probability distribution of the rate parameter. We develop a simulation algorithm for the compound Poisson case which can be used to approximate other L'evy bases. The generalised method of moments is used for inference and simulation experiments are conducted with a view towards asymptotic properties." @default.
- W3100019111 created "2020-11-23" @default.
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- W3100019111 date "2018-05-10" @default.
- W3100019111 modified "2023-09-24" @default.
- W3100019111 title "Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein–Uhlenbeck processes" @default.
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- W3100019111 doi "https://doi.org/10.1080/17442508.2018.1466886" @default.
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