A class of valid Matérn cross-covariance functions for multivariate spatio-temporal random fields

Ryan H.L. Ip and W.K. Li

Statistics & Probability Letters, 2017, vol. 130, issue C, 115-119

Abstract: We extend a current result in the literature by introducing a parametric family of matrix-valued cross-covariance functions, which would help describe multivariate space–time dependence structures for any number of variables. All the direct and cross-covariance functions belong to the Matérn class. The smoothness, space–time separability and scale parameters are allowed to be different for each variable.

Keywords: Multivariate space time modelling; Positive semi-definiteness; Matrix-valued covariance functions (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.07.019

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