Title: Semiparametric spatio-temporal energy data analysis
Authors: Xiaohang Ren - University of Southampton (United Kingdom) [presenting]
Zudi Lu - University of Southampton (United Kingdom)
Abstract: Energy plays a critically important role in the development of the economy and there are a large number of spatiotemporal data with complex structures in energy research. We investigate the relationship between natural gas prices and oil prices at US state-level by constructing a novel semiparametric spatiotemporal model to estimate the impacts of oil price shocks on the US natural gas prices in different states. The proposed estimators are studied with numerical simulations carried out for comparisons of the properties of the estimates. This approach can capture the nonlinear dependence between the natural gas prices and oil price in the US states and uncover price shock transmission and nonlinear cross-market dependency of the natural gas markets.