Nonstationary covariance functions that model space-time interactions

Chunsheng Ma

Statistics & Probability Letters, 2003, vol. 61, issue 4, 411-419

Abstract: This paper shows how to derive nonstationary spatio-temporal covariance functions via spatio-temporal stationary covariances and intrinsically stationary variograms. Three closely related kernels are employed for this purpose: 2{[phi](s1;t1)+[phi](s2;t2)}-[phi](s1+s2;t1+t2)-[phi](s1-s2;t1-t2), [phi](s1+s2;t1+t2)-[phi](s1-s2;t1-t2), [phi](s1;t1)+[phi](s2;t2)-[phi](s1-s2;t1-t2), where [phi](s;t) is an intrinsically stationary variogram. Typical examples of covariances generated by kernel (iii) are those of the Brownian motion and fractional Brownian motion. Many new nonseparable spatio-temporal covariance functions are obtained via kernels (i) and (ii).

Keywords: Covariance; Intrinsically; stationary; Negative; definite; Positive; definite; Stationary; Variogram (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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