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Activity Number: 40 - Modern and Innovative Spatial Methods in Ecology and the Environment
Type: Invited
Date/Time: Sunday, August 7, 2022 : 4:00 PM to 5:50 PM
Sponsor: JABES-Journal of Agricultural, Biological, and Environmental Statistics
Abstract #320435
Title: Varying-Coefficient Stochastic Differential Equations with Applications in Ecology
Author(s): Théo Michelot*
Companies: University of St Andrews
Keywords: Time series; Stochastic differential equations; Statistical ecology; Nonparametric; Generalized additive models; Diffusion process
Abstract:

Stochastic differential equations (SDEs) are popular tools to analyse time series data in many areas, such as mathematical finance, physics, and biology. Most widely-used SDEs are specified in terms of just a few parameters to allow for tractability, which can be limiting to capture detailed features of the data-generating process. We propose modelling the parameters as nonparametric functions of covariates, similar to generalized additive models, to allow for time-varying dynamics while retaining the simple interpretation of parametric models. We describe a computationally-efficient implementation based on the R packages mgcv and TMB, and we demonstrate the utility of the approach with applications in ecology, where there is often a trade-off between interpretability and flexibility.


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