Search results for " Space-time point processes"

showing 3 items of 3 documents

Financial contagion through space-time point processes

2020

AbstractWe propose to study the dynamics of financial contagion by means of a class of point process models employed in the modeling of seismic contagion. The proposal extends network models, recently introduced to model financial contagion, in a space-time point process perspective. The extension helps to improve the assessment of credit risk of an institution, taking into account contagion spillover effects.

040101 forestryStatistics and ProbabilityFinancial contagionSpace timemedia_common.quotation_subjectContagion models Credit risk Space-time point processes04 agricultural and veterinary sciences01 natural sciencesPoint process010104 statistics & probabilitySpillover effectEconomicsInstitutionEconometrics0401 agriculture forestry and fisheries0101 mathematicsStatistics Probability and UncertaintyPoint process modelsNetwork modelmedia_commonCredit risk
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Hybrid kernel estimates of space-time earthquake occurrence rates using the Etas model

2010

The following steps are suggested for smoothing the occurrence patterns in a clustered space–time process, in particular the data from an earthquake catalogue. First, the original data is fitted by a temporal version of the ETAS model, and the occurrence times are transformed by using the cumulative form of the fitted ETAS model. Then the transformed data (transformed times and original locations) is smoothed by a space–time kernel with bandwidth obtained by optimizing a naive likelihood cross-validation. Finally, the estimated intensity for the original data is obtained by back-transforming the estimated intensity for the transformed data. This technique is used to estimate the intensity f…

Bandwidths Parameters Cross-validation ETAS models Intensity function Kernel estimates Space-time point processes Space-time ETAS model Transformation of time.Settore SECS-S/01 - Statistica
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Some extensions in space-time LGCP: application to earthquake data

2017

In this paper we aim at studying some extensions of complex space-time models, useful for the description of earthquake data. In particular we want to focus on the Log-Gaussian Cox Process (LGCP, [1]) model estimation approach, with some results on global informal diagnostics. Indeed, in our opinion the use of Cox processes that are natural models for point process phenomena that are environmentally driven could be a new approach for the description of seismic events. These models can be useful in estimating the intensity surface of a spatio-temporal point process, in constructing spatially continuous maps of earthquake risk from spatially discrete data, and in real-time seismic activity su…

LGCP Space-time Point Processes second-order functions diagnosticsSettore SECS-S/01 - Statistica
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