Some covariance models based on normal scale mixtures

Details Some covariance models based on normal scale mixtures Some covariance models based on normal scale mixtures

2011-02-25

arxiv.org/abs/1102.5228v1

Bernoulli 2010, Vol. 16, No. 3, 780-797

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/09-BEJ226 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/09-BEJ226

Modelling spatio-temporal processes has become an important issue in current research. Since Gaussian processes are essentially determined by their second order structure, broad classes of covariance functions are of interest. Here, a new class is described that merges and generalizes various models presented in the literature, in particular models in Gneiting (J. Amer. Statist. Assoc. 97 (2002) 590--600) and Stein (Nonstationary spatial covariance functions (2005) Univ. Chicago). Furthermore, new models and a multivariate extension are introduced.

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