A class of valid Matérn cross-covariance functions for multivariate spatio-temporal random fields

Ryan H.L. Ip, W.K. Li

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

We extend a current result in the literature by introducing a parametric family of matrix-valued cross-covariance functions, which would help describe multivariate space–time dependence structures for any number of variables. All the direct and cross-covariance functions belong to the Matérn class. The smoothness, space–time separability and scale parameters are allowed to be different for each variable.
Original languageEnglish
Pages (from-to)115-119
Number of pages5
JournalStatistics and Probability Letters
Volume130
DOIs
Publication statusPublished - Aug 2017

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