A Class of Convolution‐Based Models for Spatio‐Temporal Processes with Non‐Separable Covariance Structure

Alexandre Rodrigues and Peter J. Diggle

Scandinavian Journal of Statistics, 2010, vol. 37, issue 4, 553-567

Abstract: Abstract. In this article, we propose a new parametric family of models for real‐valued spatio‐temporal stochastic processes S(x, t) and show how low‐rank approximations can be used to overcome the computational problems that arise in fitting the proposed class of models to large datasets. Separable covariance models, in which the spatio‐temporal covariance function of S(x, t) factorizes into a product of purely spatial and purely temporal functions, are often used as a convenient working assumption but are too inflexible to cover the range of covariance structures encountered in applications. We define positive and negative non‐separability and show that in our proposed family we can capture positive, zero and negative non‐separability by varying the value of a single parameter.

Date: 2010
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https://doi.org/10.1111/j.1467-9469.2009.00675.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:37:y:2010:i:4:p:553-567

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