Journal
STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT
Volume 29, Issue 4, Pages 1249-1263Publisher
SPRINGER
DOI: 10.1007/s00477-014-0996-y
Keywords
Compact support; Hole effect; Multivariate random fields; Positive definite; Wendland-Gneiting class
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Funding
- Regione Sardegna
- Fondecyt Regular from Chilean Ministry of Education
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The paper combines simple general methodologies to obtain new classes of matrix-valued covariance functions that have two important properties: (i) the domains of the compact support of the several components of the matrix-valued functions can vary between components; and (ii) the overall differentiability at the origin can also vary. These models exploit a class of functions called here the Wendland-Gneiting class; their use is illustrated via both a simulation study and an application to a North American bivariate dataset of precipitation and temperature. Because for this dataset, as for others, the empirical covariances exhibit a hole effect, the turning bands operator is extended to matrix-valued covariance functions so as to obtain matrix-valued covariance models with negative covariances.
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