Heavy tailed spatial autocorrelation models

Abstract

Appropriate models for spatially autocorrelated data account for the fact that observations are not independent. A popular model in this context is the simultaneous autoregressive (SAR) model that allows to model the spatial dependency structure of a response variable and the influence of covariates on this variable. This spatial regression model assumes that the error follows a normal distribution. Since this assumption cannot always be met, it is necessary to extend this model to other error distributions. We propose the extension to the $t$-distribution, the tSAR model, which can be used if we observe heavy tails in the fitted residuals of the SAR model. In addition, we provide a variance estimate that considers the spatial structure of a variable which helps us to specify inputs for our models. An extended simulation study shows that the proposed estimators of the tSAR model are performing well and in an application to fire danger we see that the tSAR model is a notable improvement compared to the SAR model.