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An approach to modeling asymmetric multivariate spatial covariance structures

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  • Li, Bo
  • Zhang, Hao
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    Abstract

    We propose a framework in light of the delay effect to model the asymmetry of multivariate covariance functions that is often exhibited in real data. This general approach can endow any valid symmetric multivariate covariance function with the ability of modeling asymmetry and is very easy to implement. Our simulations and real data examples show that asymmetric multivariate covariance functions based on our approach can achieve remarkable improvements in prediction over symmetric models.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0047259X11000819
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 102 (2011)
    Issue (Month): 10 (November)
    Pages: 1445-1453

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    Handle: RePEc:eee:jmvana:v:102:y:2011:i:10:p:1445-1453

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    Related research

    Keywords: Asymmetry Bivariate Matern Intrinsic model Multivariate covariance function Symmetry;

    References

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    1. Gneiting, Tilmann & Raftery, Adrian E., 2007. "Strictly Proper Scoring Rules, Prediction, and Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 359-378, March.
    2. Tatiyana V. Apanasovich & Marc G. Genton, 2010. "Cross-covariance functions for multivariate random fields based on latent dimensions," Biometrika, Biometrika Trust, vol. 97(1), pages 15-30.
    3. Bo Li & Marc G. Genton & Michael Sherman, 2008. "Testing the covariance structure of multivariate random fields," Biometrika, Biometrika Trust, vol. 95(4), pages 813-829.
    4. Alan Gelfand & Alexandra Schmidt & Sudipto Banerjee & C. Sirmans, 2004. "Nonstationary multivariate process modeling through spatially varying coregionalization," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 13(2), pages 263-312, December.
    5. Gneiting, Tilmann & Kleiber, William & Schlather, Martin, 2010. "Matérn Cross-Covariance Functions for Multivariate Random Fields," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1167-1177.
    6. Sain, Stephan R. & Cressie, Noel, 2007. "A spatial model for multivariate lattice data," Journal of Econometrics, Elsevier, vol. 140(1), pages 226-259, September.
    7. Michael L. Stein, 2005. "Statistical methods for regular monitoring data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 667-687.
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