Characterization theorems for some classes of covariance functions associated to vector valued random fields

Emilio Porcu and Viktor Zastavnyi

Journal of Multivariate Analysis, 2011, vol. 102, issue 9, 1293-1301

Abstract: We characterize some important classes of cross-covariance functions associated to vector valued random fields based on latent dimensions. We also give some results for mixture based models that allow for the construction of new cross-covariance models. In particular, we give a criterion for the permissibility of quasi-arithmetic operators in order to construct valid cross covariances.

Keywords: Cross-covariance; functions; Exponentially; convex; functions; Latent; dimensions; Multivariate; Laplace; transforms; Quasi-arithmetic; operators; Vector; valued; random; fields (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (10)

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