Testing the covariance structure of multivariate random fields

• 成果类型: Article
• 署名作者: Li, Bo; Genton, Marc G.; Sherman, Michael
• 署名单位: Purdue University System; Purdue University; Texas A&M University System; Texas A&M University College Station
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asn053
• 发表日期: 2008
• 页码: 813829
• 关键词: Separability; prediction; models

摘要

There is an increasing wealth of multivariate spatial and multivariate spatio-temporal data appearing. For such data, an important part of model building is an assessment of the properties of the underlying covariance function describing variable, spatial and temporal correlations. In this paper, we propose a methodology to evaluate the appropriateness of several types of common assumptions on multivariate covariance functions in the spatio-temporal context. The methodology is based on the asymptotic joint normality of the sample space-time cross-covariance estimators. Specifically, we address the assumptions of symmetry, separability and linear models of coregionalization. We conduct simulation experiments to evaluate the sizes and powers of our tests and illustrate our methodology on a trivariate spatio-temporal dataset of pollutants over California.