Characterization Theorems for Pseudo-Variograms
Statistics Theory
2021-12-07 v1 Methodology
Statistics Theory
Abstract
Pseudo-variograms appear naturally in the context of multivariate Brown-Resnick processes, and are a useful tool for analysis and prediction of multivariate random fields. We give a necessary and sufficient criterion for a matrix-valued function to be a pseudo-variogram, and further provide a Schoenberg-type result connecting pseudo-variograms and multivariate correlation functions. By means of these characterizations, we provide extensions of the popular univariate space-time covariance model of Gneiting to the multivariate case.
Cite
@article{arxiv.2112.02595,
title = {Characterization Theorems for Pseudo-Variograms},
author = {Christopher Dörr and Martin Schlather},
journal= {arXiv preprint arXiv:2112.02595},
year = {2021}
}