Spatial Matérn Fields Driven by Non-Gaussian Noise

David Bolin

Scandinavian Journal of Statistics, 2014, vol. 41, issue 3, 557-579

Abstract: type="main" xml:id="sjos12046-abs-0001"> The article studies non-Gaussian extensions of a recently discovered link between certain Gaussian random fields, expressed as solutions to stochastic partial differential equations (SPDEs), and Gaussian Markov random fields. The focus is on non-Gaussian random fields with Matérn covariance functions, and in particular, we show how the SPDE formulation of a Laplace moving-average model can be used to obtain an efficient simulation method as well as an accurate parameter estimation technique for the model. This should be seen as a demonstration of how these techniques can be used, and generalizations to more general SPDEs are readily available.

Date: 2014
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