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A new class of nonseparable space-time covariance models
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Fonseca, Thaís C. O. and Steel, Mark F. J. (2008) A new class of nonseparable space-time covariance models. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2008 (No.13).
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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
Abstract
The aim of this work is to construct nonseparable, stationary covariance
functions for processes that vary continuously in space and time. Stochastic
modeling of phenomena over space and time is important in many areas of
applications such as environmental sciences, agriculture and meteorology. But
choice of an appropriate model can be difficult as one must take care to use valid
covariance structures. A common choice for the process is a product of purely
spatial and temporal random processes. In this case, the resulting process possesses
a separable covariance function. Although these models are guaranteed
to be valid, they are severely limited, since they do not allow space-time interactions.
In this work we propose a general and flexible way of constructing
valid nonseparable covariance functions derived through mixing over separable
covariance functions. The proposed model allows for different degrees of
smoothness across space and time and long-range dependence in time. Moreover,
our proposal has as particular cases several covariance models proposed in
the literature such as the Matérn and the Cauchy Class. We use a Markov chain
Monte Carlo sampler for Bayesian inference and apply our modeling approach
to the Irish wind data.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Analysis of covariance | ||||
Series Name: | Working papers | ||||
Publisher: | University of Warwick. Centre for Research in Statistical Methodology | ||||
Place of Publication: | Coventry | ||||
Official Date: | 2008 | ||||
Dates: |
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Volume: | Vol.2008 | ||||
Number: | No.13 | ||||
Number of Pages: | 25 | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 | ||||
Funder: | University of Warwick. Centre for Research in Statistical Methodology |
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