NDLI: Spatial stochastic volatility for lattice data

Content Provider	Springer Nature Link
Author	Yan, Jun
Copyright Year	2007
Abstract	Spatial heteroscedasticity may arise jointly with spatial autocorrelation in lattice data collected from agricultural trials and environmental studies. This leads to spatial clustering not only in the level but also in the variation of the data, the latter of which may be very important, for example, in constructing prediction intervals. This article introduces a spatial stochastic volatility (SSV) component into the widely used conditional autoregressive (CAR) model to capture the spatial clustering in heteroscedasticity. The SSV component is a mean zero, conditionally independent Gaussian process given a latent spatial process of the variances. The logarithm of the latent variance process is specified by an intrinsic Gaussian Markov random field. The SSV model relaxes the traditional homoscedasticity assumption for spatial heterogeneity and brings greater flexibility to the popular spatial statistical models. The Bayesian method is used for inference. The full conditional distribution of the heteroscedasticity components can be shown to be log-concave, which facilitates an adaptive rejection sampling algorithm. Application to the well-known wheat yield data illustrates that incorporating spatial stochastic volatility may reveal the spatial heteroscedasticity hidden from existing analyses.
Starting Page	25
Ending Page	40
Page Count	16
File Format	PDF
ISSN	10857117
Journal	Journal of Agricultural, Biological, and Environmental Statistics
Volume Number	12
Issue Number	1
e-ISSN	15372693
Language	English
Publisher	Springer-Verlag
Publisher Date	2007-01-01
Publisher Place	New York
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Conditional autoregressive model Markov chain Monte Carlo Spatial heteroscedasticity Stochastic volatility Wheat yield data Statistics for Life Sciences, Medicine, Health Sciences Agriculture Environmental Monitoring/Analysis Biostatistics
Content Type	Text
Resource Type	Article
Subject	Applied Mathematics Statistics and Probability Environmental Science Agricultural and Biological Sciences Statistics, Probability and Uncertainty

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