Generalised spatial and spatiotemporal autoregressive conditional heteroscedasticity

  title={Generalised spatial and spatiotemporal autoregressive conditional heteroscedasticity},
  author={Philipp E. Otto and Wolfgang Schmid and Robert Garthoff},
  journal={Spatial Statistics},
In this paper, we introduce a new spatial model that incorporates heteroscedastic variance depending on neighboring locations. The proposed process is regarded as the spatial equivalent to the temporal autoregressive conditional heteroscedasticity (ARCH) model. We show additionally how the introduced spatial ARCH model can be used in spatiotemporal settings. In contrast to the temporal ARCH model, in which the distribution is known given the full information set of the prior periods, the… Expand

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