Ornstein–Uhlenbeck processes for geophysical data analysis

Semere Habtemicael and Indranil SenGupta

Physica A: Statistical Mechanics and its Applications, 2014, vol. 399, issue C, 147-156

Abstract: In this work a three parameter stochastic process, termed the Gamma-Ornstein–Uhlenbeck process, has been implemented to analyze geophysical data. Such non-Gaussian Ornstein–Uhlenbeck processes offer the possibility of capturing important distributional deviations from Gaussianity and make the model flexible of dependence structures. It is shown that the Gamma-Ornstein–Uhlenbeck process is a possible candidate for earthquake data modeling. Rigorous regression analysis is provided and based on that the first-passage times are computed for different sets of data. It is shown that this model may be used to estimate parameters related to some major events—namely major earthquakes.

Keywords: Ornstein–Uhlenbeck processes; Lévy processes; Gamma processes; Characteristic function; Exit time (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:399:y:2014:i:c:p:147-156

DOI: 10.1016/j.physa.2013.12.050

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