A Weighted Spatio-Temporal Model for County Yields

51 Pages Posted: 7 Sep 2019

See all articles by Matthew Ames

Matthew Ames

The Institute of Statistical Mathematics

Guillaume Bagnarosa

ESC Rennes School of Business

Suikai Gao

ESC Rennes School of Business

Tomoko Matsui

Independent

Gareth Peters

Department of Actuarial Mathematics and Statistics, Heriot-Watt University; University College London - Department of Statistical Science; University of Oxford - Oxford-Man Institute of Quantitative Finance; London School of Economics & Political Science (LSE) - Systemic Risk Centre; University of New South Wales (UNSW) - Faculty of Science

Date Written: July 3, 2019

Abstract

This paper seeks to tackle the area yield distribution modelling problem by considering not only a spatial and temporal modelling framework, but also by treating both county and farm level information. We propose a model which combines on the one hand the cross-sectional spatially distributed data about temperature and precipitation over time and on the other hand the information relative to the acreage allocation at the farmers level. We demonstrate that beyond its forecasting power our model more adequately captures the dynamic covariation between the county level yields and the estimated local weather conditions compared with alternative models.

Keywords: Crop yields, crop insurance pricing, SARIMA, Gaussian process

JEL Classification: D24, O13, Q16, Q54

Suggested Citation

Ames, Matthew and Bagnarosa, Guillaume and Gao, Suikai and Matsui, Tomoko and Peters, Gareth, A Weighted Spatio-Temporal Model for County Yields (July 3, 2019). Available at SSRN: https://ssrn.com/abstract=3447047 or http://dx.doi.org/10.2139/ssrn.3447047

Matthew Ames

The Institute of Statistical Mathematics ( email )

Tokyo
Japan

Guillaume Bagnarosa (Contact Author)

ESC Rennes School of Business ( email )

2, RUE ROBERT D'ARBRISSEL
Rennes, 35065
France

Suikai Gao

ESC Rennes School of Business ( email )

Rue Robert d'arbrissel, 2
Rennes, 35000
France

Tomoko Matsui

Independent ( email )

Gareth Peters

Department of Actuarial Mathematics and Statistics, Heriot-Watt University ( email )

Edinburgh Campus
Edinburgh, EH14 4AS
United Kingdom

HOME PAGE: http://garethpeters78.wixsite.com/garethwpeters

University College London - Department of Statistical Science ( email )

1-19 Torrington Place
London, WC1 7HB
United Kingdom

University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )

University of Oxford Eagle House
Walton Well Road
Oxford, OX2 6ED
United Kingdom

London School of Economics & Political Science (LSE) - Systemic Risk Centre ( email )

Houghton St
London
United Kingdom

University of New South Wales (UNSW) - Faculty of Science ( email )

Australia

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