Objective Statistics for tempo-spatial data is one of the most important research frontiers in modern statistics. This project proposes to introduce and develop the concept of tempo-spatial stochastic volatility, which allows one to model volatility clusters both in time and in space. Empirical evidence for stochastic volatility is ubiquitous, and hence, it is vital and urgent that statistical models and estimation methods will be developed to account for this key quantity.Stochastic volatility is a latent variable, meaning that it is not directly observable but needs to be estimated from other (observable) variables. The main research objectives are to construct novel, non-parametric estimators for tempo-spatial stochastic volatility and to establish the corresponding asymptotic theory for constructing confidence regions. Moreover, fully parametric classes of stochastic volatility models will be developed, and the corresponding statistical inference techniques will be derived.The objectives will be achieved by developing the concept of realised quadratic variation for random fields, which results in a non-parametric proxy for tempo-spatial stochastic volatility. Also, novel, parametric estimation procedures will be designed to estimate the parameters of new tempo-spatial stochastic volatility models based on a quasi-maximum-likelihood framework.The completion of this project will be a major breakthrough in statistics and will solidify Europe’s leadership in this field. Moreover, it is of key relevance to the Work Programme since it strongly contributes to the initiative “sustainable growth”: The results of this research project are directly applicable to, e.g. measuring and modelling the risk associated with climate change and to finding an optimal design for wind farms, making renewable sources of energy more efficient and reliable. Fields of science natural sciencesmathematicsapplied mathematicsstatistics and probabilitynatural sciencesearth and related environmental sciencesatmospheric sciencesclimatologyclimatic changes Programme(s) FP7-PEOPLE - Specific programme "People" implementing the Seventh Framework Programme of the European Community for research, technological development and demonstration activities (2007 to 2013) Topic(s) FP7-PEOPLE-2012-CIG - Marie-Curie Action: "Career Integration Grants" Call for proposal FP7-PEOPLE-2012-CIG See other projects for this call Funding Scheme MC-CIG - Support for training and career development of researcher (CIG) Coordinator IMPERIAL COLLEGE OF SCIENCE TECHNOLOGY AND MEDICINE EU contribution € 100 000,00 Address SOUTH KENSINGTON CAMPUS EXHIBITION ROAD SW7 2AZ LONDON United Kingdom See on map Region London Inner London — West Westminster Activity type Higher or Secondary Education Establishments Administrative Contact Brooke Alasya (Ms.) Links Contact the organisation Opens in new window Website Opens in new window Total cost No data
