Blur‐generated non‐separable space–time models

Statistical space–time modelling has traditionally been concerned with separable covariance functions, meaning that the covariance function is a product of a purely temporal function and a purely spatial function. We draw attention to a physical dispersion model which could model phenomena such as the spread of an air pollutant. We show that this model has a non‐separable covariance function. The model is well suited to a wide range of realistic problems which will be poorly fitted by separable models. The model operates successively in time: the spatial field at time t +1 is obtained by ‘blurring’ the field at time t and adding a spatial random field. The model is first introduced at discrete time steps, and the limit is taken as the length of the time steps goes to 0. This gives a consistent continuous model with parameters that are interpretable in continuous space and independent of sampling intervals. Under certain conditions the blurring must be a Gaussian smoothing kernel. We also show that the model is generated by a stochastic differential equation which has been studied by several researchers previously.