6 papers
Forecasting the Term Structure of Interest Rates with SPDE-Based Models
Qihao Duan, Alexandre B. Simas, David Bolin +1
The Dynamic Nelson--Siegel (DNS) model is a widely used framework for term structure forecasting. We propose a novel extension that models DNS residuals as a Gaussian random field,…
Fractional and Integer Order Sobolev Spaces for Compact Metric Graphs
Elsiddig Awadelkarim, David Bolin, Alexandre B. Simas
Given a compact metric graph and the Laplacian coupled with standard (Kirchhoff) vertex conditions, solutions to fractional elliptic partial differential equations of the…
Incorporating Correlated Nugget Effects in Multivariate Spatial Models: An Application to Argo Ocean Data
Damilya Saduakhas, David Bolin, Xiaotian Jin +2
Accurate analysis of global oceanographic data, such as temperature and salinity profiles from the Argo program, requires geostatistical models capable of capturing complex spatial…
rSPDE: tools for statistical modeling using fractional SPDEs
David Bolin, Alexandre B. Simas
The R software package rSPDE contains methods for approximating Gaussian random fields based on fractional-order stochastic partial differential equations (SPDEs). A common example…
Log-Gaussian Cox Processes on General Metric Graphs
David Bolin, Damilya Saduakhas, Alexandre B. Simas
The modeling of spatial point processes has advanced considerably, yet extending these models to non-Euclidean domains, such as road networks, remains a challenging problem. We pro…
An explicit link between graphical models and Gaussian Markov random fields on metric graphs
David Bolin, Alexandre B. Simas, Jonas Wallin
We derive an explicit link between Gaussian Markov random fields on metric graphs and graphical models, and in particular show that a Markov random field restricted to the vertices…