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Matrix-valued isotropic covariance functions with local extrema

Author

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  • Alegría, Alfredo
  • Emery, Xavier

Abstract

Multivariate random fields are commonly used in spatial statistics and natural science to model coregionalized variables. In this context, the matrix-valued covariance function plays a central role in capturing their spatial continuity and interdependence. This study aims to contribute to the literature on covariance modeling by proposing new parametric families of isotropic matrix-valued functions exhibiting non-monotonic behaviors, namely hole effects and cross-dimples. The benefit of the proposed models is shown on a bivariate data set consisting of concentrations of airborne particulate matter.

Suggested Citation

  • Alegría, Alfredo & Emery, Xavier, 2024. "Matrix-valued isotropic covariance functions with local extrema," Journal of Multivariate Analysis, Elsevier, vol. 200(C).
    • Handle: RePEc:eee:jmvana:v:200:y:2024:i:c:s0047259x23000969
    DOI: 10.1016/j.jmva.2023.105250
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