The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
Online Program Home
Abstract Details
|
Activity Number:
|
85
|
|
Type:
|
Contributed
|
|
Date/Time:
|
Sunday, July 29, 2012 : 4:00 PM to 5:50 PM
|
|
Sponsor:
|
Section on Statistics and the Environment
|
| Abstract - #305488 |
|
Title:
|
Multivariate Integer-Valued Autoregressive Models Applied to Earthquake Counts
|
|
Author(s):
|
Mathieu Boudreault*+ and Arthur Charpentier
|
|
Companies:
|
Université du Québec à Montréal and Université du Québec à Montréal
|
|
Address:
|
C.P. 8888, Montréal, QC, H3C 3P8, Canada
|
|
Keywords:
|
counts ;
autoregression ;
multivariate ;
earthquakes
|
|
Abstract:
|
In various situations in the insurance industry, in finance, in epidemiology, etc., one needs to represent the joint evolution of the number of occurrences of an event. In this paper, we present a multivariate integer-valued autoregressive (MINAR) model, derive its properties and apply the model to earthquake occurrences across various pairs of tectonic plates. The model is an extension of Pedelis & Karlis (2011) where cross autocorrelation (spatial contagion in a seismic context) is considered. We fit various bivariate count models and find that for many contiguous tectonic plates, spatial contagion is significant in at least one direction. Furthermore, ignoring cross autocorrelation can underestimate the potential for high numbers of occurrences over the short-term. Our overall findings seem to further confirm Parsons & Velasco (2011).
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2012 program
|
2012 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.