2010 Rietz lecture: When does the screening effect hold?
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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.
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- Sparse Cholesky Factorization by Kullback--Leibler Minimization
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- 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
- Stein hypothesis and screening effect for covariances with compact support
- Strong local nondeterminism and exact modulus of continuity for isotropic Gaussian random fields on compact two-point homogeneous spaces
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