[Forum SIS] Seminar of Wolfgang Schmid, University of Bergamo

[Ilia Negri]

Dear All,

the Department of Management, Information and Production Engineering,
University of Bergamo, is glad to invite you to the following seminar.

Title: Spatial and Spatio-Temporal Nonlinear Time Series
Speaker: Wolfgang Schmid, European University, Frankfurt (Oder), Germany
When: Wednesday, the 19th of April, 2:30 PM
Where: Viale Marconi 5, 20044 Dalmine, BG, Room B104
Abstract: see below
For further informations, please, don't hesitate to contact me:
ilia.negri a unibg.it

Ilia Negri
http://www.unibg.it/pers/?ilia.negri


Abstract: In this talk we present a new spatial model that incorporates
heteroscedastic variance depending on neighboring locations. The proposed
process is regarded as the spatial equiva- lent to the temporal
autoregressive conditional heteroscedasticity (ARCH) model. We show
additionally how the introduced spatial ARCH model can be used in
spatiotemporal set- tings. In contrast to the temporal ARCH model, in which
the distribution is known given the full information set of the prior
periods, the distribution is not straightforward in the spatial and
spatiotemporal setting. However, it is possible to estimate the parameters
of the model using the maximum-likelihood approach. Via Monte Carlo
simulations, we demon- strate the performance of the estimator for a
specific spatial weighting matrix. Moreover, we combine the known spatial
autoregressive model with the spatial ARCH model assuming heteroscedastic
errors. Eventually, the proposed autoregressive process is illustrated
using an empirical example. Specifically, we model lung cancer mortality in
3108 U.S. counties and compare the introduced model with two benchmark
approaches.
(joint work with Robert Garthoff and Philipp Otto)
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