Intrinsic random functions and universal kriging on the circle

DOI10.1016/J.SPL.2015.09.023zbMATH Open1328.60095OpenAlexW2157170780MaRDI QIDQ893445FDOQ893445

Authors: Chunfeng Huang, Haimeng Zhang, Scott M. Robeson 

Publication date: 19 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Intrinsic random functions (IRF) provide a versatile approach when the assumption of second-order stationarity is not met. Here, we develop the IRF theory on the circle with its universal kriging application. Unlike IRF in Euclidean spaces, where differential operations are used to achieve stationarity, our result shows that low-frequency truncation of the Fourier series representation of the IRF is required for such processes on the circle. All of these features and developments are presented through the theory of reproducing kernel Hilbert space. In addition, the connection between kriging and splines is also established, demonstrating their equivalence on the circle.

Full work available at URL: https://arxiv.org/abs/1506.07186

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zbMATH Keywords

stationarityreproducing kernel Hilbert spaceBrownian bridgespline

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) General theory of stochastic processes (60G07)

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Cited In (3)

• On Lévy's Brownian motion and white noise space on the circle
• A critical assessment of Kriging model variants for high-fidelity uncertainty quantification in dynamics of composite shells
• Intrinsic random functions on the sphere

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