45 citations · 260 across the 33 of their papers we have counts for
6 papers · 1 filter
A Dynamic Spatiotemporal Stochastic Volatility Model with an Application to Environmental Risks
Philipp Otto, Osman Doğan, Süleyman Taşpınar
This article introduces a dynamic spatiotemporal stochastic volatility (SV) model with explicit terms for the spatial, temporal, and spatiotemporal spillover effects. Moreover, the…
Agrimonia: a dataset on livestock, meteorology and air quality in the Lombardy region, Italy
Alessandro Fassò, Jacopo Rodeschini, Alessandro Fusta Moro +7
The air in the Lombardy region, Italy, is one of the most polluted in Europe because of limited air circulation and high emission levels. There is a large scientific consensus that…
Statistical process monitoring of artificial neural networks
Anna Malinovskaya, Pavlo Mozharovskyi, Philipp Otto
The rapid advancement of models based on artificial intelligence demands innovative monitoring techniques which can operate in real time with low computational costs. In machine le…
Adaptive LASSO estimation for functional hidden dynamic geostatistical model
Paolo Maranzano, Philipp Otto, Alessandro Fassò
We propose a novel model selection algorithm based on a penalized maximum likelihood estimator (PMLE) for functional hidden dynamic geostatistical models (f-HDGM). These models emp…
A Multivariate Spatial and Spatiotemporal ARCH Model
Philipp Otto
This paper introduces a multivariate spatiotemporal autoregressive conditional heteroscedasticity (ARCH) model based on a vec-representation. The model includes instantaneous spati…
Dynamic Spatiotemporal ARCH Models
Philipp Otto, Osman Doğan, Süleyman Taşpınar
Geo-referenced data are characterized by an inherent spatial dependence due to the geographical proximity. In this paper, we introduce a dynamic spatiotemporal autoregressive condi…