Intrinsic random functions and universal kriging on the circle

DOI10.1016/J.SPL.2015.09.023MaRDI QIDQ893445zbMATH OpenOpenAlexFDO

Authors Chunfeng Huang, Haimeng Zhang, Scott M. Robeson

Publication date 19 November 2015

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

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

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)

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.

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Cited in

(3)

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

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