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 language | English |
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Pages (from-to) | 115-119 |
Number of pages | 5 |
Journal | Statistics and Probability Letters |
Volume | 130 |
DOIs | |
Publication status | Published - Aug 2017 |