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Space-time processes
Separability
Separable covariance structure:
Cov(Z(x,t),Z(y,s))=CS(x,y)CT(s,t)
Nonseparable alternatives
Temporally varying spatial
covariances
Fourier approach
Completely monotone functions
SARMAP revisited
Spatial correlation structure depends
on hour of the day:
QuickTime and a
decompressor
are needed to see this picture.
Brunos seasonal
nonseparability
Y(t,x) = (t,x) + t (x)(x Z1(t) + Z2 (t,x)) + (t,x)
Nonseparability generated by
seasonally changing spatial term t (x )
(uniformly modulated at each time)
Z1 large-scale feature
General stationary
space-time covariances
Cressie & Huang (1999): By Bochners
theorem, a continuous, bounded,
symmetric integrable C(h;u) is a spacetime covariance function if
ih T
C (u) = e
C(h,u)dh
is a covariance function for all .
Usage: Fourier transform of C(u)
C(h,u)
Spectral density
Under stationarity and separability,
f(h;
If spatially nonstationary, write
fa,b (
Under separability this is independent
of frequency
Estimation
1
Let a,b () = tanh (R a,b ())
(variance stabilizing)
where R is estimated using
f (
a,b
Models-3 output
ANOVA results
Item
df rss
P-value
Between
points
Between
freqs
Residual
0.129
0.68
11.14
0.0008
0.346
Coherence plot
a3,b3
a6,b6
A class of Matrn-type
nonseparable covariances
f(
scale
spatial
decay
temporal
decay
space-time
interaction
=1: separable
=0: time is space (at a diferent rate)
Fuentes model
Z(s, t)
Another approach
Gneiting (2001): A function f is
completely monotone if (-1)nf(n)0 for all
n. Bernsteins
shows that
theorem
rt
f(t) = 0 e dF(r)
for some non-2
decreasing F. In particular, f( h ) is a
spatial covariance function for all
dimensions if f is completely
monotone.
The idea is now to combine a
completely monotone function and a
function with completey monotone
derivative into a space-time covariance
h2
C(h,u) =
2 d/ 2
2
( u )
(u
)
Some examples
(t) = exp(ct ), c > 0,0 < 1
(t) =
c t / 2
2 1()
A particular case
h
2
1
C(h,u) = (u + 1) exp 2
(u + 1)
=1/2,=1/2
=1,=1/2
=1/2,=1
QuickTime and a
decompressor
are needed to see this picture.
=1,=1
Velocity-driven
space-time covariances
CS covariance of purely spatial field
V (random) velocity of field
Space-time covariance
C(h,u)
Frozen field model: P(V=v)=1 (e.g.
prevailing wind)
C(h,
Evidence of asymmetry
Time lag 1
Time lag 2
Time lag 3
Trend model
(si ,t) = 1(si ) + 2 (si ,t)
SVD computation
Singular values of T=2912 x S=545 observation matrix
800
600
400
Singular value
200
100
200
300
Index, 1:545
400
500
EOF 1
Annual Trend Component 1
01/01/1987
10/01/1987
07/01/1988
04/01/1989
01/01/1990
10/01/1990
01/01/1994
10/01/1994
dates87to94[1:1456]
01/01/1991
10/01/1991
07/01/1992
04/01/1993
dates87to94[1457:2912]
EOF 2
Annual Trend Component 2
01/01/1987
10/01/1987
07/01/1988
04/01/1989
01/01/1990
10/01/1990
01/01/1994
10/01/1994
dates87to94[1:1456]
01/01/1991
10/01/1991
07/01/1992
04/01/1993
dates87to94[1457:2912]
EOF 3
01/01/1987
10/01/1987
07/01/1988
04/01/1989
01/01/1990
10/01/1990
01/01/1994
10/01/1994
dates87to94[1:1456]
01/01/1991
10/01/1991
07/01/1992
04/01/1993
dates87to94[1457:2912]
60370113
0.4
0.2
sqrt(max 8hr O3)
0.0
01/01/1989
01/01/1990
01/01/1991
01/01/1992
01/01/1993
01/01/1994
01/01/1993
01/01/1994
01/01/1993
01/01/1994
1987-1994
61112003
0.4
0.2
sqrt(max 8hr O3)
0.0
01/01/1989
01/01/1990
01/01/1991
01/01/1992
1987-1994
61111003
0.4
0.2
sqrt(max 8hr O3)
0.0
01/01/1989
01/01/1990
01/01/1991
01/01/1992
1987-1994
Kriging of 0
Kriging of 2
01/01/1990
01/01/1991
01/01/1992
01/01/1993
01/01/1994
Date
01/01/1990
01/01/1991
01/01/1992
01/01/1993
01/01/1994
Date
01/01/1990
01/01/1991
01/01/1992
01/01/1993
01/01/1994
0.2
sq rt Ozone
0.0
01/01/1989
04/01/1989
07/01/1989
10/01/1989
01/01/1990
04/01/1990
07/01/1990
10/01/1990
04/01/1992
07/01/1992
10/01/1992
04/01/1994
07/01/1994
10/01/1994
Date
0.4
0.2
sq rt Ozone
0.0
01/01/1991
04/01/1991
07/01/1991
10/01/1991
01/01/1992
Date
0.4
0.2
sq rt Ozone
0.0
01/01/1993
04/01/1993
07/01/1993
10/01/1993
01/01/1994
Date
The data
Yearly counts
of blue grama
plants in a
series of 1 m2
quadrats in a
mixed grass
prairie (38.8N,
99.3W) in
Hays, Kansas,
between 1932
and1972 (41
years).
Some views
Modelling
Aim: See if spatial distribution is
changing with time.
Y(s,t)(s,t) ~ Po((s,t))
log((s,t)) = constant
+ fixed efect of temp & precip
+ trend
+ weighted average of
principal fields
Principal fields
Coefficients
Years