Spatial Matérn Fields Driven by Non-Gaussian Noise
Artikel i vetenskaplig tidskrift, 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

Non-Gaussian

Expectation-maximization algorithm

Markov random fields

Stochastic partial differential equation

Laplace noise

Författare

Scandinavian Journal of Statistics

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

Ämneskategorier

Sannolikhetsteori och statistik

DOI

10.1111/sjos.12046

Mer information

Skapat

2017-10-10