Half-Spectral Space-Time Covariance Models

2015/05/06 by Horrell, Michael T., Stein, Michael L. · 2 citations
#FOS: Computer and information sciences #Methodology (stat.ME)

paper · doi:10.48550/arxiv.1505.01243

Abstract

We develop two new classes of space-time Gaussian process models by specifying covariance functions using what we call a half-spectral representation. The half-spectral representation of a covariance function, K, is a special case of standard spectral representations. In addition to the introduction of two new model classes, we also develop desirable theoretical properties of certain half-spectral forms. In particular, for a half-spectral model, K, we determine spatial and temporal mean-square differentiability properties of a Gaussian process governed by K, and we determine whether or not the spectral density of K meets a regularity condition motivated by a screening effect analysis. We fit models we develop in this paper to a wind power dataset, and we show our models fit these data better than other separable and non-separable space-time models.

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• High-Resolution Retrieval of Atmospheric Boundary Layers with Nonstationary Gaussian Processes
• Asymmetric Space-Time Covariance Functions via Hierarchical Mixtures

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