A diffusion-based spatio-temporal extension of Gaussian Matérn fields
From MaRDI portal
Publication:64853
DOI10.48550/ARXIV.2006.04917arXiv2006.04917MaRDI QIDQ64853FDOQ64853
David Bolin, Haavard Rue, Elias Teixeira Krainski, Finn Lindgren, Haakon Bakka
Publication date: 8 June 2020
Abstract: Gaussian random fields with Mat'ern covariance functions are popular models in spatial statistics and machine learning. In this work, we develop a spatio-temporal extension of the Gaussian Mat'ern fields formulated as solutions to a stochastic partial differential equation. The spatially stationary subset of the models have marginal spatial Mat'ern covariances, and the model also extends to Whittle-Mat'ern fields on curved manifolds, and to more general non-stationary fields. In addition to the parameters of the spatial dependence (variance, smoothness, and practical correlation range) it additionally has parameters controlling the practical correlation range in time, the smoothness in time, and the type of non-separability of the spatio-temporal covariance. Through the separability parameter, the model also allows for separable covariance functions. We provide a sparse representation based on a finite element approximation, that is well suited for statistical inference and which is implemented in the R-INLA software. The flexibility of the model is illustrated in an application to spatio-temporal modeling of global temperature data.
Computational methods for problems pertaining to statistics (62-08) Inference from spatial processes (62M30) Random fields; image analysis (62M40) Random fields (60G60) Inference from stochastic processes and prediction (62M20)
Cited In (1)
This page was built for publication: A diffusion-based spatio-temporal extension of Gaussian Matérn fields
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q64853)
