The link between Gaussian random fields and Markov random fields is well established based on a stochastic partial differential equation in Euclidean spaces, where the Matérn covariance functions are essential. However, the Matérn covariance functions are not always positive definite on circles and spheres. In this manuscript, we focus on the extension of this link to circles, and show that the link between Gaussian random fields and Markov random fields on circles is valid based on the circular Matérn covariance function instead. First, we show that this circular Matérn function is the covariance of the stationary solution to the stochastic differential equation on the circle with a formally defined white noise space measure. Then, for the corresponding conditional autoregressive model, we derive a closed form formula for its covariance function. Together with a closed form formula for the circular Matérn covariance function, the link between these two random fields can be established explicitly. Additionally, it is known that the estimator of the mean is not consistent on circles, we provide an equivalent Gaussian measure explanation for this non-ergodicity issue.
The Matérn and the Generalized Cauchy families of covariance functions have a prominent role in spatial statistics as well as in a wealth of statistical applications. The Matérn family is crucial to index mean-square differentiability of the associated Gaussian random field; the Cauchy family is a decoupler of the fractal dimension and Hurst effect for Gaussian random fields that are not self-similar. Our effort is devoted to prove that a scale-dependent family of covariance functions, obtained as a reparameterization of the Generalized Cauchy family, converges to a particular case of the Maté…
The Mat{é}rn family of covariance functions has played a central role in spatial statistics for decades, being a flexible parametric class with one parameter determining the smoothness of the paths of the underlying spatial field. This paper proposes a new family of spatial covariance functions, which stems from a reparameterization of the generalized Wendland family. As for the Mat{é}rn case, the new class allows for a continuous parameterization of the smoothness of the underlying Gaussian random field, being additionally compactly supported. More importantly, we show that the proposed covar…
Covariance functions are the core of spatial statistics, stochastic processes, machine learning as well as many other theoretical and applied disciplines. The properties of the covariance function at small and large distances determine the geometric attributes of the associated Gaussian random field. Having covariance functions that allow to specify both local and global properties is certainly on demand. This paper provides a method to find new classes of covariance functions having such properties. We term these models hybrid as they are obtained as scale mixtures of piecewise covariance ker…
The Matérn covariance function is a popular choice for prediction in spatial statistics and uncertainty quantification literature. A key benefit of the Matérn class is that it is possible to get precise control over the degree of mean-square differentiability of the random process. However, the Matérn class possesses exponentially decaying tails, and thus may not be suitable for modeling polynomially decaying dependence. This problem can be remedied using polynomial covariances; however one loses control over the degree of mean-square differentiability of corresponding processes, in that rando…
We conduct a study of the aliased spectral densities of Matérn covariance functions on a regular grid of points, providing clarity on the properties of a popular approximation based on stochastic partial differential equations; while others have shown that it can approximate the covariance function well, we find that it assigns too much power at high frequencies and does not provide increasingly accurate approximations to the inverse as the grid spacing goes to zero, except in the one-dimensional exponential covariance case. We provide numerical results to support our theory, and in a simulati…
The periodization of a stationary Gaussian random field on a sufficiently large torus comprising the spatial domain of interest is the basis of various efficient computational methods, such as the classical circulant embedding technique using the fast Fourier transform for generating samples on uniform grids. For the family of Matérn covariances with smoothness index $ν$ and correlation length $λ$, we analyse the nonsmooth periodization (corresponding to classical circulant embedding) and an alternative procedure using a smooth truncation of the covariance function. We solve two open problems:…
Maximum-likelihood estimation of the Matérn covariance structure of isotropic spatial random fields on finite, sampled grids
Princeton University（普林斯顿大学）；Queen Mary University of London（伦敦玛丽女王大学）；Wesleyan University（卫斯理安大学）；Johns Hopkins University（约翰斯·霍普金斯大学）；Ecole Polytechnique Fédérale de Lausanne（洛桑联邦理工学院）
This paper addresses the problem of finding parametric constraints that ensure the validity of the multivariate Mat{é}rn covariance for modeling the spatial correlation structure of coregionalized variables defined in an Euclidean space. To date, much attention has been given to the bivariate setting, while the multivariate setting has been explored to a limited extent only. The existing conditions often imply severe restrictions on the upper bounds for the collocated correlation coefficients, which makes the multivariate Mat{é}rn model appealing for the case of weak spatial cross-dependence o…
Count data appears in various disciplines. In this work, a new method to analyze time series count data has been proposed. The method assumes exponentially decaying covariance structure, a special class of the Matérn covariance function, for the latent variable in a Poisson regression model. It is implemented in a Bayesian framework, with the help of Gibbs sampling and ARMS sampling techniques. The proposed approach provides reliable estimates for the covariate effects and estimates the extent of variability explained by the temporally dependent process and the white noise process. The method …
We provide sufficient conditions of Pólya type which guarantee the positive definiteness of a $2\times 2$-matrix-valued function in $\mathbb{R}$ and $\mathbb{R}^3$. Several bivariate covariance models have been proposed in literature, where all components of the covariance matrix are of the same parametric family, such as the bivariate Matérn model. Based on the Pólya type conditions, we introduce two novel bivariate parametric covariance models of this class, the powered exponential (or stable) covariance model and the generalized Cauchy covariance model. Both models allow for flexible smooth…
This paper presents theoretical advances in the application of the Stochastic Partial Differential Equation (SPDE) approach in geostatistics. We show a general approach to construct stationary models related to a wide class of linear SPDEs, with applications to spatio-temporal models having non-trivial properties. Within the framework of Generalized Random Fields, a criterion for existence and uniqueness of stationary solutions for this class of SPDEs is proposed and proven. Their covariance are then obtained through their spectral measure. We present a result relating the covariance in the ca…
With the advent of wide-spread global and continental-scale spatiotemporal datasets, increased attention has been given to covariance functions on spheres over time. This paper provides results for stationary covariance functions of random fields defined over $d$-dimensional spheres cross time. Specifically, we provide a bridge between the characterization in \cite{berg-porcu} for covariance functions on spheres cross time and Gneiting's lemma \citep{gneiting2002} that deals with planar surfaces. We then prove that there is a valid class of covariance functions similar in form to the Gneiting …
An interpolation error is an integral of the squared error of a regression model over a domain of interest. We consider the interpolation error for the case of misspecified Gaussian process regression: used covariance function differs from the true one. We derive the interpolation error for an infinite grid design of experiments. In particular, we show that for Matern 1/2 covariance function poor estimation of parameters only slightly affects the quality of interpolation. Then we proceed to numerical experiments that consider the misspecification for the most common covariance functions includ…
Kernel ridge regression is an important nonparametric method for estimating smooth functions. We introduce a new set of conditions, under which the actual rates of convergence of the kernel ridge regression estimator under both the L_2 norm and the norm of the reproducing kernel Hilbert space exceed the standard minimax rates. An application of this theory leads to a new understanding of the Kennedy-O'Hagan approach for calibrating model parameters of computer simulation. We prove that, under certain conditions, the Kennedy-O'Hagan calibration estimator with a known covariance function converg…
Atmospheric inverse modelling is a method for reconstructing historical fluxes of green-house gas between land and atmosphere, using observed atmospheric concentrations and an atmospheric tracer transport model. The small number of observed atmospheric concentrations in relation to the number of unknown flux components makes the inverse problem ill-conditioned, and assumptions on the fluxes are needed to constrain the solution. A common practise is to model the fluxes using latent Gaussian fields with a mean structure based on estimated fluxes from combinations of process modelling (natural fl…
Fast simulation of Gaussian random fields with flexible correlation models in Euclidean spaces
Facultad de Ingeniería y Ciencias, Universidad Adolfo Ibáñez（阿道夫·伊巴涅斯大学工程学院与科学学院）；Dipartimento di Scienze Ambientali, Informatica e Statistica, Università Ca’ Foscari（威尼斯卡福斯卡里大学环境、信息学与统计科学系）；Department of Mining Engineering, Universidad de Chile（智利大学矿业工程系）；Advanced Mining Technology Center, Universidad de Chile（智利大学先进采矿技术中心）；Departamento de Matemática, Universidad Técnica Federico Santa María（费德里科·圣塔玛丽亚理工大学数学系）
Kriging based on Gaussian random fields is widely used in reconstructing unknown functions. The kriging method has pointwise predictive distributions which are computationally simple. However, in many applications one would like to predict for a range of untried points simultaneously. In this work we obtain some error bounds for the (simple) kriging predictor under the uniform metric. It works for a scattered set of input points in an arbitrary dimension, and also covers the case where the covariance function of the Gaussian process is misspecified. These results lead to a better understanding…
Spatial Gaussian process regression models typically contain finite dimensional covariance parameters that need to be estimated from the data. We study the Bayesian estimation of covariance parameters including the nugget parameter in a general class of stationary covariance functions under fixed-domain asymptotics, which is theoretically challenging due to the increasingly strong dependence among spatial observations. We propose a novel adaptation of the Schwartz's consistency theorem for showing posterior contraction rates of the covariance parameters including the nugget. We derive a new po…
This paper presents a parametric family of compactly-supported positive semidefinite kernels aimed to model the covariance structure of second-order stationary isotropic random fields defined in the $d$-dimensional Euclidean space. Both the covariance and its spectral density have an analytic expression involving the hypergeometric functions ${}_2F_1$ and ${}_1F_2$, respectively, and four real-valued parameters related to the correlation range, smoothness and shape of the covariance. The presented hypergeometric kernel family contains, as special cases, the spherical, cubic, penta, Askey, gene…
Sample Path Regularity of Gaussian Processes from the Covariance Kernel
Tübingen AI Center, University of Tübingen（图宾根人工智能中心、图宾根大学）；Verses AI Research Lab & ELLIS Institute（Verses AI研究实验室及ELLIS研究所）；University of Tübingen（图宾根大学）
Centered Gaussian random fields (GRFs) indexed by compacta such as smooth, bounded Euclidean domains or smooth, compact and orientable manifolds are determined by their covariance operators. We consider centered GRFs given as variational solutions to coloring operator equations driven by spatial white noise, with an elliptic self-adjoint pseudodifferential coloring operator from the Hörmander class. This includes the Matérn class of GRFs as a special case. Using biorthogonal multiresolution analyses on the manifold, we prove that the precision and covariance operators, respectively, may be ide…
Simple-regret rates and minimax optimality of fixed-prior expected improvement in Matérn and squared-exponential RKHSs
Université Paris-Saclay（巴黎-萨克雷大学）；CentraleSupélec（中央高等电力学院）；Laboratoire des Signaux et Systèmes（信号与系统实验室）；Laboratoire national de métrologie et d’essais (LNE)（国家计量与测试实验室（LNE））
本文研究固定先验期望改进（EI）在 Matérn 和平方指数核 RKHS 中的简单遗憾率，证明弱 EI 策略达到最优速率，且精确 EI 策略在相应函数类上具有极小极大最优性。
The phenomenon of self-synchronization in populations of oscillatory units appears naturally in neurosciences. However, in some situations, the formation of a coherent state is damaging. In this article we study a repulsive mean-field Kuramoto model that describes the time evolution of n points on the unit circle, which are transformed into incoherent phase-locked states. It has been recently shown that such systems can be reduced to a three-dimensional system of ordinary differential equations, whose mathematical structure is strongly related to hyperbolic geometry. The orbits of the Kuramoto…
