TY - JOUR
T1 - Covariance tapering for multivariate Gaussian random fields estimation
AU - Bevilacqua, M.
AU - Fassò, A.
AU - Gaetan, C.
AU - Porcu, E.
AU - Velandia, D.
N1 - Publisher Copyright:
© 2015, Springer-Verlag Berlin Heidelberg.
PY - 2016/3/1
Y1 - 2016/3/1
N2 - In recent literature there has been a growing interest in the construction of covariance models for multivariate Gaussian random fields. However, effective estimation methods for these models are somehow unexplored. The maximum likelihood method has attractive features, but when we deal with large data sets this solution becomes impractical, so computationally efficient solutions have to be devised. In this paper we explore the use of the covariance tapering method for the estimation of multivariate covariance models. In particular, through a simulation study, we compare the use of simple separable tapers with more flexible multivariate tapers recently proposed in the literature and we discuss the asymptotic properties of the method under increasing domain asymptotics.
AB - In recent literature there has been a growing interest in the construction of covariance models for multivariate Gaussian random fields. However, effective estimation methods for these models are somehow unexplored. The maximum likelihood method has attractive features, but when we deal with large data sets this solution becomes impractical, so computationally efficient solutions have to be devised. In this paper we explore the use of the covariance tapering method for the estimation of multivariate covariance models. In particular, through a simulation study, we compare the use of simple separable tapers with more flexible multivariate tapers recently proposed in the literature and we discuss the asymptotic properties of the method under increasing domain asymptotics.
KW - Cross Covariance estimation
KW - Large datasets
KW - Multivariate Gaussian process
KW - Multivariate compactly supported correlation function
UR - http://www.scopus.com/inward/record.url?scp=84958849790&partnerID=8YFLogxK
U2 - 10.1007/s10260-015-0338-3
DO - 10.1007/s10260-015-0338-3
M3 - Article
AN - SCOPUS:84958849790
SN - 1618-2510
VL - 25
SP - 21
EP - 37
JO - Statistical Methods and Applications
JF - Statistical Methods and Applications
IS - 1
ER -