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Lookup NU author(s): Professor Emilio Porcu
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Multivariate space–time data are increasingly available in various scientific disciplines. When analyzing these data, one of the key issues is to describe the multivariate space–time dependences. Under the Gaussian framework, one needs to propose relevant models for multivariate space–time covariance functions, i.e. matrix-valued mappings with the additional requirement of non-negative definiteness. We propose a flexible parametric class of cross-covariance functions for multivariate space–time Gaussian random fields. Space–time components belong to the (univariate) Gneiting class of space–time covariance functions, with Matérn or Cauchy covariance functions in the spatial margins. The smoothness and scale parameters can be different for each variable. We provide sufficient conditions for positive definiteness. A simulation study shows that the parameters of this model can be efficiently estimated using weighted pairwise likelihood, which belongs to the class of composite likelihood methods. We then illustrate the model on a French dataset of weather variables.
Author(s): Bourotte M, Allard D, Porcu E
Publication type: Article
Publication status: Published
Journal: Spatial Statistics
Year: 2016
Volume: 18
Issue: Part A
Pages: 125-146
Print publication date: 01/11/2016
Online publication date: 17/02/2016
Acceptance date: 09/02/2016
ISSN (electronic): 2211-6753
Publisher: Elsevier
URL: https://doi.org/10.1016/j.spasta.2016.02.004
DOI: 10.1016/j.spasta.2016.02.004
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