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An approach to modeling asymmetric multivariate spatial covariance structures

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  • Li, Bo
  • Zhang, Hao

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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  • Li, Bo & Zhang, Hao, 2011. "An approach to modeling asymmetric multivariate spatial covariance structures," Journal of Multivariate Analysis, Elsevier, vol. 102(10), pages 1445-1453, November.
    • Handle: RePEc:eee:jmvana:v:102:y:2011:i:10:p:1445-1453
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    References listed on IDEAS

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    1. Sain, Stephan R. & Cressie, Noel, 2007. "A spatial model for multivariate lattice data," Journal of Econometrics, Elsevier, vol. 140(1), pages 226-259, September.
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    1. Bevilacqua, Moreno & Caamaño-Carrillo, Christian & Porcu, Emilio, 2022. "Unifying compactly supported and Matérn covariance functions in spatial statistics," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    2. Jun, Mikyoung, 2014. "Matérn-based nonstationary cross-covariance models for global processes," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 134-146.
    3. Zheng, Xueying & Xue, Lan & Qu, Annie, 2018. "Time-varying correlation structure estimation and local-feature detection for spatio-temporal data," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 221-239.
    4. Moreno Bevilacqua & Alfredo Alegria & Daira Velandia & Emilio Porcu, 2016. "Composite Likelihood Inference for Multivariate Gaussian Random Fields," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 21(3), pages 448-469, September.
    5. Ip, Ryan H.L. & Li, W.K., 2017. "A class of valid Matérn cross-covariance functions for multivariate spatio-temporal random fields," Statistics & Probability Letters, Elsevier, vol. 130(C), pages 115-119.
    6. Ghulam A. Qadir & Carolina Euán & Ying Sun, 2021. "Flexible Modeling of Variable Asymmetries in Cross-Covariance Functions for Multivariate Random Fields," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 26(1), pages 1-22, March.
    7. Kleiber, William & Nychka, Douglas, 2012. "Nonstationary modeling for multivariate spatial processes," Journal of Multivariate Analysis, Elsevier, vol. 112(C), pages 76-91.

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