Characterization theorems for some classes of covariance functions associated to vector valued random fields

We characterize some important classes of cross-covariance functions associated to vector valued random fields based on latent dimensions. We also give some results for mixture based models that allow for the construction of new cross-covariance models. In particular, we give a criterion for the permissibility of quasi-arithmetic operators in order to construct valid cross covariances.

MoreLess

Year of publication:	2011
Authors:	Porcu, Emilio ; Zastavnyi, Viktor
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 102.2011, 9, p. 1293-1301
Publisher:	Elsevier
Keywords:	Cross-covariance functions Exponentially convex functions Latent dimensions Multivariate Laplace transforms Quasi-arithmetic operators Vector valued random fields

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009142911