New compactly supported spatiotemporal covariance functions from SPDEs

M. Ruiz-Medina (), J. Angulo (), G. Christakos () and R. Fernández-Pascual ()

Statistical Methods & Applications, 2016, vol. 25, issue 1, 125-141

Abstract: Potential theory and Dirichlet’s priciple constitute the basic elements of the well-known classical theory of Markov processes and Dirichlet forms. This paper presents new classes of fractional spatiotemporal covariance models, based on the theory of non-local Dirichlet forms, characterizing the fundamental solution, Green kernel, of Dirichlet boundary value problems for fractional pseudodifferential operators. The elements of the associated Gaussian random field family have compactly supported non-separable spatiotemporal covariance kernels admitting a parametric representation. Indeed, such covariance kernels are not self-similar but can display local self-similarity, interpolating regular and fractal local behavior in space and time. The associated local fractional exponents are estimated from the empirical log-wavelet variogram. Numerical examples are simulated for illustrating the properties of the space–time covariance model class introduced. Copyright Springer-Verlag Berlin Heidelberg 2016

Keywords: Duality condition; Empirical-wavelet-based variogram estimation; Non-local Dirichlet forms; Space–time covariance models; Stochastic spatiotemporal fractional-order pseudodifferential models (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s10260-015-0333-8

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