Spatial stochastic volatility for lattice data

Spatial heteroscedasticity may arise jointly with spatial autocorrelation in lattice data collected from agricultural trials and environmental studies. This leads to spatial clustering not only in the level but also in the variation of the data, the latter of which may be very important, for e (ample, in constructing prediction intervals. This article introduces a spatial stochastic volatility (SSV) component into the widely used conditional autoregressive (CAR) model to capture the spatial clustering in heteroscedasticity. The SSV component is a mean zero, conditionally independent Gaussian process given a latent spatial process of the variances. The logarithm of the latent variance process is specified by an intrinsic Gaussian Markov random field. The SSV model relaxes the traditional homosceclasticity assumption for spatial heterogeneity and brings greater flexibility to the popular spatial statistical models. The Bayesian method is used for inference. The full conditional distribution of the heterosceclasticity components can be shown to be log-concave, which facilitates an adaptive rejection sampling algorithm. Application to the well-known wheat yield data illustrates that incorporating spatial stochastic volatility may reveal the spatial heterosceclasticity hidden from existing analyses.