Abstract
The paper combines simple general methodologies to obtain new classes of matrix-valued covariance functions that have two important properties: (i) the domains of the compact support of the several components of the matrix-valued functions can vary between components; and (ii) the overall differentiability at the origin can also vary. These models exploit a class of functions called here the Wendland–Gneiting class; their use is illustrated via both a simulation study and an application to a North American bivariate dataset of precipitation and temperature. Because for this dataset, as for others, the empirical covariances exhibit a hole effect, the turning bands operator is extended to matrix-valued covariance functions so as to obtain matrix-valued covariance models with negative covariances.
Original language | English |
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Pages (from-to) | 1249-1263 |
Number of pages | 15 |
Journal | Stochastic Environmental Research and Risk Assessment |
Volume | 29 |
Issue number | 4 |
DOIs | |
State | Published - 1 May 2015 |
Keywords
- Compact support
- Hole effect
- Multivariate random fields
- Positive definite
- Wendland–Gneiting class