A Nonstationary Designer Space-Time Kernel

2018/12/01 by McCourt, Michael, Fasshauer, Gregory, Kozak, David
#42C05 #62M30 #Computation (stat.CO) #FOS: Computer and information sciences #FOS: Mathematics #G.1.2 #Numerical Analysis (math.NA)

paper · doi:10.48550/arxiv.1812.00173

Abstract

In spatial statistics, kriging models are often designed using a stationary covariance structure; this translation-invariance produces models which have numerous favorable properties. This assumption can be limiting, though, in circumstances where the dynamics of the model have a fundamental asymmetry, such as in modeling phenomena that evolve over time from a fixed initial profile. We propose a new nonstationary kernel which is only defined over the half-line to incorporate time more naturally in the modeling process.

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