Spatial Matérn Fields Driven by Non-Gaussian Noise
Journal article, 2013

The article studies non-Gaussian extensions of a recently discovered link between certain Gaussian random fields, expressed as solutions to stochastic partial differential equations (SPDEs), and Gaussian Markov random fields. The focus is on non-Gaussian random fields with Matérn covariance functions, and in particular, we show how the SPDE formulation of a Laplace moving-average model can be used to obtain an efficient simulation method as well as an accurate parameter estimation technique for the model. This should be seen as a demonstration of how these techniques can be used, and generalizations to more general SPDEs are readily available. © 2013 Board of the Foundation of the Scandinavian Journal of Statistics.

Matérn covariances


Expectation-maximization algorithm

Markov random fields

Stochastic partial differential equation

Laplace noise


Scandinavian Journal of Statistics

0303-6898 (ISSN) 1467-9469 (eISSN)

Subject Categories

Probability Theory and Statistics



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