2010 Rietz lecture: When does the screening effect hold?
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Publication:449966
DOI10.1214/11-AOS909zbMATH Open1246.60061arXiv1203.1801MaRDI QIDQ449966FDOQ449966
Authors: Michael L. Stein 
Publication date: 3 September 2012
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: When using optimal linear prediction to interpolate point observations of a mean square continuous stationary spatial process, one often finds that the interpolant mostly depends on those observations located nearest to the predictand. This phenomenon is called the screening effect. However, there are situations in which a screening effect does not hold in a reasonable asymptotic sense, and theoretical support for the screening effect is limited to some rather specialized settings for the observation locations. This paper explores conditions on the observation locations and the process model under which an asymptotic screening effect holds. A series of examples shows the difficulty in formulating a general result, especially for processes with different degrees of smoothness in different directions, which can naturally occur for spatial-temporal processes. These examples lead to a general conjecture and two special cases of this conjecture are proven. The key condition on the process is that its spectral density should change slowly at high frequencies. Models not satisfying this condition of slow high-frequency change should be used with caution.
Full work available at URL: https://arxiv.org/abs/1203.1801
Recommendations
Inference from spatial processes (62M30) Prediction theory (aspects of stochastic processes) (60G25) Inference from stochastic processes and spectral analysis (62M15)
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Cited In (17)
- Scalable Bayesian Transport Maps for High-Dimensional Non-Gaussian Spatial Fields
- Compression, inversion, and approximate PCA of dense kernel matrices at near-linear computational complexity
- Scaled Vecchia approximation for fast computer-model emulation
- An adaptive factorized Nyström preconditioner for regularized kernel matrices
- Hierarchical sparse Cholesky decomposition with applications to high-dimensional spatio-temporal filtering
- The Matérn model: a journey through statistics, numerical analysis and machine learning
- Half-spectral analysis of spatial-temporal data: The case study of Iranian daily wind speed data
- Axially symmetric models for global data: a journey between geostatistics and stochastic generators
- Sparse Cholesky Factorization by Kullback--Leibler Minimization
- The screening effect in kriging
- On a class of space-time intrinsic random functions
- A general framework for Vecchia approximations of Gaussian processes
- Multi-Resolution Filters for Massive Spatio-Temporal Data
- Bayesian nonparametric generative modeling of large multivariate non-Gaussian spatial fields
- Screening effect in isotropic Gaussian processes
- Strong local nondeterminism and exact modulus of continuity for isotropic Gaussian random fields on compact two-point homogeneous spaces
- Stein hypothesis and screening effect for covariances with compact support
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