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. Copyright © 2017 Elsevier B.V. All rights reserved.
CitationIp, R. H. L., & Li, W. K. (2017). A class of valid Matérn cross-covariance functions for multivariate spatio-temporal random fields. Statistics and Probability Letters, 130, 115-119. doi: 10.1016/j.spl.2017.07.019
- Multivariate space time modelling
- Positive semi-definiteness
- Matrix-valued covariance functions