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Classes of Nonseparable, Spatio-Temporal Stationary Covariance Functions

Journal Article


Abstract


  • Suppose that a random process Z(s;t), indexed in space and time, has spatio-temporal stationary covariance C(h;u), where h ∈ ℝd (d ≥ 1) is a spatial lag and u ∈ ℝ is a temporal lag. Separable spatio-temporal covariances have the property that they can be written as a product of a purely spatial covariance and a purely temporal covariance. Their ease of definition is counterbalanced by the rather limited class of random processes to which they correspond. In this article we derive a new approach that allows one to obtain many classes of nonseparable, spatio-temporal stationary covariance functions and fit several such classes to spatio-temporal data on wind speed over a region in the tropical western Pacific ocean. © 1999 Taylor & Francis Group, LLC.

Publication Date


  • 1999

Citation


  • Cressie, N., & Huang, H. C. (1999). Classes of Nonseparable, Spatio-Temporal Stationary Covariance Functions. Journal of the American Statistical Association, 94(448), 1330-1339. doi:10.1080/01621459.1999.10473885

Scopus Eid


  • 2-s2.0-0442325070

Web Of Science Accession Number


Start Page


  • 1330

End Page


  • 1339

Volume


  • 94

Issue


  • 448

Abstract


  • Suppose that a random process Z(s;t), indexed in space and time, has spatio-temporal stationary covariance C(h;u), where h ∈ ℝd (d ≥ 1) is a spatial lag and u ∈ ℝ is a temporal lag. Separable spatio-temporal covariances have the property that they can be written as a product of a purely spatial covariance and a purely temporal covariance. Their ease of definition is counterbalanced by the rather limited class of random processes to which they correspond. In this article we derive a new approach that allows one to obtain many classes of nonseparable, spatio-temporal stationary covariance functions and fit several such classes to spatio-temporal data on wind speed over a region in the tropical western Pacific ocean. © 1999 Taylor & Francis Group, LLC.

Publication Date


  • 1999

Citation


  • Cressie, N., & Huang, H. C. (1999). Classes of Nonseparable, Spatio-Temporal Stationary Covariance Functions. Journal of the American Statistical Association, 94(448), 1330-1339. doi:10.1080/01621459.1999.10473885

Scopus Eid


  • 2-s2.0-0442325070

Web Of Science Accession Number


Start Page


  • 1330

End Page


  • 1339

Volume


  • 94

Issue


  • 448