Matrix-valued isotropic covariance functions with local extrema

Alfredo Alegría and Xavier Emery

Journal of Multivariate Analysis, 2024, vol. 200, issue C

Abstract: Multivariate random fields are commonly used in spatial statistics and natural science to model coregionalized variables. In this context, the matrix-valued covariance function plays a central role in capturing their spatial continuity and interdependence. This study aims to contribute to the literature on covariance modeling by proposing new parametric families of isotropic matrix-valued functions exhibiting non-monotonic behaviors, namely hole effects and cross-dimples. The benefit of the proposed models is shown on a bivariate data set consisting of concentrations of airborne particulate matter.

Keywords: Hole effect; Cross-dimple; Matérn model; Coregionalization modeling (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.jmva.2023.105250

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