Statistical Methods in Finance 2016

Dec 18 - 22, 2016


Zero Expectile Processes and Bayesian Spatial Regression

by Anandamayee Majumder

We introduce new classes of stationary spatial processes with asymmetric, sub-Gaussian marginal distributions using the idea of expectiles. We derive theoretical properties of the proposed processes. Moreover, we use the proposed spatial processes to formulate a spatial regression model for point-referenced data where the spatially correlated errors have skewed marginal distribution. We introduce a Bayesian computational procedure for model fitting and inference for this class of spatial regression models. We compare the performance of the proposed method with the traditional Gaussian process-based spatial regression through simulation studies and by applying it to a data set on air pollution in California.