Tukey -and- Random Fields

Ganggang Xu and Marc G. Genton

Journal of the American Statistical Association, 2017, vol. 112, issue 519, 1236-1249

Abstract: We propose a new class of transGaussian random fields named Tukey g-and-h (TGH) random fields to model non-Gaussian spatial data. The proposed TGH random fields have extremely flexible marginal distributions, possibly skewed and/or heavy-tailed, and, therefore, have a wide range of applications. The special formulation of the TGH random field enables an automatic search for the most suitable transformation for the dataset of interest while estimating model parameters. Asymptotic properties of the maximum likelihood estimator and the probabilistic properties of the TGH random fields are investigated. An efficient estimation procedure, based on maximum approximated likelihood, is proposed and an extreme spatial outlier detection algorithm is formulated. Kriging and probabilistic prediction with TGH random fields are developed along with prediction confidence intervals. The predictive performance of TGH random fields is demonstrated through extensive simulation studies and an application to a dataset of total precipitation in the south east of the United States. Supplementary materials for this article are available online.

Date: 2017
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Citations: View citations in EconPapers (19)

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DOI: 10.1080/01621459.2016.1205501

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