Beyond Matern: On A Class of Interpretable Confluent Hypergeometric Covariance Functions

• 成果类型: Article
• 署名作者: Ma, Pulong; Bhadra, Anindya
• 署名单位: Clemson University; Purdue University System; Purdue University
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2022.2027775
• 发表日期: 2023
• 页码: 2045-2058
• 关键词: objective bayesian-analysis; gaussian-processes; random-fields; MODEL; prediction; dependence

摘要

The Matern covariance function is a popular choice for prediction in spatial statistics and uncertainty quantification literature. A key benefit of the Matern class is that it is possible to get precise control over the degree of mean-square differentiability of the random process. However, the Matern class possesses exponentially decaying tails, and thus, may not be suitable for modeling polynomially decaying dependence. This problem can be remedied using polynomial covariances; however, one loses control over the degree of mean-square differentiability of corresponding processes, in that random processes with existing polynomial covariances are either infinitely mean-square differentiable or nowhere mean-square differentiable at all. We construct a new family of covariance functions called the Confluent Hypergeometric (CH) class using a scale mixture representation of the Matern class where one obtains the benefits of both Matern and polynomial covariances. The resultant covariance contains two parameters: one controls the degree of mean-square differentiability near the origin and the other controls the tail heaviness, independently of each other. Using a spectral representation, we derive theoretical properties of this new covariance including equivalent measures and asymptotic behavior of the maximum likelihood estimators under infill asymptotics. The improved theoretical properties of the CH class are verified via extensive simulations. Application using NASA's Orbiting Carbon Observatory-2 satellite data confirms the advantage of the CH class over the Matern class, especially in extrapolative settings. for this article are available online.