14 citations · 31 across the 5 of their papers we have counts for
5 papers
A dynamic extreme value model with applications to volcanic eruption forecasting
Michele Nguyen, Almut E. D. Veraart, Benoit Taisne +2
Extreme events such as natural and economic disasters leave lasting impacts on society and motivate the analysis of extremes from data. While classical statistical tools based on G…
Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein-Uhlenbeck processes
Michele Nguyen, Almut E. D. Veraart
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, geop…
A note on confidence intervals for parameter estimates of a spatio-temporal Ornstein-Uhlenbeck process
Michele Nguyen, Almut E. D. Veraart
We compare two ways of constructing confidence intervals for the moments-matching parameter estimates of a Gaussian spatio-temporal Ornstein-Uhlenbeck process. It was found that th…
Modelling spatial heteroskedasticity by volatility modulated moving averages
Michele Nguyen, Almut E. D. Veraart
Spatial heteroskedasticity refers to stochastically changing variances and covariances in space. Such features have been observed in, for example, air pollution and vegetation data…
Spatio-temporal Ornstein-Uhlenbeck processes: theory, simulation and statistical inference
Michele Nguyen, Almut E. D. Veraart
Spatio-temporal modelling is an increasingly popular topic in Statistics. Our paper contributes to this line of research by developing the theory, simulation and inference for a sp…