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1 Introduction
1.1 Introductory Concepts
1.1.1 Stochastic Reservoir Modeling
1.1.2 Flow Modeling in Highly Heterogeneous Reservoirs
1.1.3 Linking Geostatistical Modeling to Flow Modeling
1.2 Reference
2 Spatial Correlation
2.1 Spatial Covariance
2.2 Semi-Variogram
2.2.1 Variogram Inference
2.2.2 Variogram Characteristics
2.2.3 Pure Nugget Effect
2.2.4 Behavior Next to the Origin
2.2.5 Outliers and Semi-Variogram Inference
2.2.6 Proportion Effect
2.3 Variogram Modeling
2.3.1 Positive Definiteness
2.3.2 Allowable Linear Combinations
2.3.3 Legitimate Structural Models
2.3.4 Positive Combinations
2.3.5 Geometric Anisotropy
2.3.6 Coordinate Transform in 2D
2.3.7 Modeling Anisotropy in 3D
2.3.8 Semi-Variogram Computation in 3D
2.3.9 Zonal Anisotropy
2.3.10 Modeling Strategy
2.3.11 3D Model
2.4 References
3 Spatial Estimation
3.1 Linear Least Squares Estimation or Interpolation
3.2 Linear Regression
3.2.1 Linear Least Squares—An Interpretation
3.2.2 Application to Spatial Estimation
3.3 Estimation in General
3.3.1 Loss Function—Some Analytical Results
3.4 Kriging
3.4.1 Expected Value of the Error Distribution
3.4.2 Error Variance
3.4.3 An Example
3.5 Universal Kriging
3.5.1 Kriging with a Trend Function
3.5.2 Ordinary Kriging
3.5.3 Universal Kriging Estimate for Trend
3.6 Kriging with an External Drift
3.7 Indicator Kriging
3.7.1 Non-Parametric Approach to Modeling Distributions
3.7.2 Kriging in Terms of Projections
3.7.3 Indicator Basis Function
3.7.4 Indicator Kriging
3.8 Data Integration in Kriging
3.8.1 Simple Co-Kriging Estimator
3.8.2 Simplified Models for Data Integration
3.8.3 Linear Model of Coregionalization
3.9 References
4 Spatial Simulation
4.1 Introduction
4.2 Kriging—Limitations
4.3 Stochastic Simulation
4.3.1 Lower-Upper (LU) Simulation
4.3.2 Sequential Simulation
4.4 Non-Parametric Sequential Simulation
4.4.1 Interpolating within the Range of Thresholds Specified
4.4.2 Tail Extrapolation
4.4.3 Data Integration within the Indicator Framework
4.4.4 Markov−Bayes Approach
4.5 Data Integration Using the Permanence of Ratio Hypothesis
4.5.1 The Tau Model
4.5.2 The Nu Model
4.6 References
A Quantile Variograms
Index
CHAPTER 1
Introduction
Thealgorithms
authors have envisioned this book to be a reference and a repository of
and tools for practicing reservoir modelers and engineers. The book is
written from the perspective of a practitioner of geostatistics and flow simulation.
There are certainly many books currently available in the market that focus on
specific topics in geostatistical reservoir modeling or numerical flow simulation, but
it is difficult to find a book that covers the basic concepts relevant to both realms of
study. In fact, it can be argued that geostatistical reservoir modeling and flow
modeling are so inseparably intertwined that talking at length about one without
extensively talking about the other would render advanced topics such as model
calibration or history matching and upscaling/scale-up of models inaccessible to all
but a select few. It is to remedy this relative deficiency that the authors conceived of
this reference with the fond hope that both students in introductory courses on
geostatistical modeling and numerical flow simulation, as well as advanced
researchers working at the interface between reservoir modeling and numerical flow
modeling, would find something of value in the book. The various chapters are
structured to cover a broad range of relevant topics. In addition, some concepts that
have emerged from research on some of the more advanced topics are also presented
that can provide some fuel for future research. Besides having worked numerical
examples and case studies embedded throughout the text, software modules (e.g.,
EXCEL® and MATLAB® codes) are also provided, on this book’s website
(www.mhprofessional.com/PRMS), for accomplishing the modeling and analysis
examples presented in the text. These, we hope, will be of some value to the
practicing engineer.
The chapters in this book can be grouped into two parts. The first four chapters
f ocus on var i ous as pect s of geostati s t i cs and s t ochast ic res ervoi r modeling. An
inspiration for this first part is the concise and yet fairly comprehensive review that
Prof. Andre Journel presented in his Fundamentals of Geostatistics in Five Lessons (
Journel, 1989). While that short-course reference starts with an initial discussion of
basic concepts from probability and statistics, this work skips that initial discussion
under the premise that a student intending to work in this area would have sufficient
background in probability and statistics. The discussion on spatial correlations and
the inference of spatial continuity measures included in the first chapter of the short-
course notes are discussed at length in Chap. 2 of this book. As in Andre’s reference,
kriging and spatial estimation are the focus of Chap. 3. Rather than splitting the
discussion on kriging into a chapter on simple kriging (and its dual interpretation)
and another chapter on kriging under constraints, both these variants of kriging are
included in one chapter in this book. Data integration through co-kriging, as well as a
discussion on the non-parametric form of kriging, i.e., indicator kriging, is also
thrown in for good measure. This results in a rather long chapter but hopefully one
that will provide a good foundation to the reader for exploring additional concepts in
subsequent chapters. Stochastic simulation is the subject of Chap. 4, where the
discussion starts with a simple decomposition of the covariance matrix and the use of
those decompositions for stochastic simulation. Then sequential simulation
techniques are discussed and the chapter culminates with techniques for data
integration within non-parametric schemes for sequential simulation. Some of the
details of the Markov−Bayes algorithm for accomplishing the integration can be
found in App. B. Much of the development in geostatistics over the past decade has
been in the area of pattern simulation or multiple point geostatistics. Chapter 5
presents a discussion on multiple point geostatistics starting from the concept of
indicator basis function. The single extended normal equation is presented as a
special case of the indicator basis function and some of the key techniques based on
the concept of the single normal equation are discussed. Some tricks to make these
simulations efficient are also discussed. The chapter ends with a musing on the use of
the extended indicator basis function for stochastic simulation. Admittedly, this is
still a nascent idea, but one that may become much more mainstream in the coming
years with the advent of faster computers, etc. There have also been many
developments in the area of spectral simulation and simulation using cumulants.
These will hopefully make their way into future editions of the book. Similarly, the
area of spatiotemporal geostatistics has also attracted much research. Some
perspectives regarding that development would also hopefully make their way into
future versions of this book.
The last four chapters focus on various aspects of flow simulation. Chapter 6
presents the basic mass conservation and momentum balance equations for multi-
phase flow, relevant auxiliary equations, and the corresponding initial and boundary
conditions. Formulation of an isothermal black-oil model based on the control
volume finite difference scheme is emphasized. More advanced topics are presented
in Chap. 7, including the issues of accuracy and stability of numerical schemes and
unstructured meshes. Finally, numerical schemes for modeling media with dual- and
triple-porosity systems, as in the case of fractured media, are discussed. Chapter 8
will focus specifically on upscaling, which is an essential link between geological
modeling and reservoir flow modeling. Various approaches, including statistical
(static) upscaling, as well as flow-based (dynamic) upscaling, are introduced in order
to derive the effective medium properties for both flow (e.g., permeability) and
transport (e.g., dispersivity) properties. Finally, Chap. 9 discusses the topic of
dynamic flow data integration or history matching, which refers to the process of
calibrating reservoir models to reflect the observed production characteristics.
There are many existing techniques for perturbing uncertain reservoir model
parameters such that the simulation prediction becomes consistent with the actual
production observations. Data inversion techniques, including both local (gradient-
based) and global schemes, are widely adopted. Various data-assimilation techniques
are also discussed to handle continuous data integration. Probabilistic history
matching methods, which aim to sample an ensemble of realistic models from the
posterior probability distribution, are emphasized.
As they say, “smartness is in standing on the shoulders of giants” in order to make
limited forays into the frontiers of knowledge. While presenting this book, one would
be remiss if the contributions of these giants are not respectfully acknowledged.
These giants have not only added significantly to the body of knowledge in the areas
of geostatistical reservoir modeling and numerical flow simulation, but also have
nurtured a future generation of researchers who have further extended the knowledge
base in those areas. The authors of this book owe an eternal debt to these teachers
who have nurtured them and brought them to this point. It is also very important to
point out that any defects in this rendition are entirely attributable to the authors and
their limitations rather than a reflection on the teachers who imparted this knowledge
to them. To the students picking up this book, it is the sincere hope that they are as
spellbound by the inner details of the algorithms and methods discussed in this book
as the authors themselves are.
• I n t he m
appi ng bet we ent he perm
eabi l i tyvar i at i ons i nt he reservoi r
and the response data , there are
that the application of the inverse transfer function TF-1 in order to model the
permeability variations will not result in a unique solution. There are at least
two ways to address the non-uniqueness of this inverse problem:
1. Constrain the permeability field k(u) to as much different data as possible,
for example, well logs, seismic, production data, etc., to reduce the
number of degrees of freedom. This requires an understanding of
geostatistical methods for reservoir modeling and data assimilation.
2. Accept that there are several solutions, say L realizations of the
permeability field kℓ(u), u ∈ Reservoir, ℓ = 1, . . . , L such that they yield
flow response that match the data to an acceptable level and
reflect some prior geological information. This again entails the
application of stochastic methods for reservoir modeling.
1.2 Reference
Journel, A. G. (1989). Fundamentals of Geostatistics in Five Lessons. Washington
DC: Americal Geophysical Union.
CHAPTER 2
Spatial Correlation
The following broad steps can be envisioned for modeling a petroleum reservoir:
In this chapter, we will first begin with a discussion related to the inference and
modeling of spatial covariances and semi-variograms. It is important to realize that
these pair-wise correlation measures are adequate (optimal) to represent the
variability exhibited by multi-Gaussian phenomena. Representing non-Gaussian
phenomena using these pair-wise measures could result in the higher-order moments
remaining unconstrained and that may impart some unintended patterns of spatial
variability in the random function (RF) model. That will motivate our discussion
about multiple point statistics in a later chapter to better constrain the RF models.
Finally, we will make the argument that spatial statistics in the form of covariances,
s emi -
variograms, or even multiple point statistics are but measures summarizing the
bivariate or, more generally, the n-variate joint distributions characterizing the spatial
variability of the phenomenon. Knowing the moments, the multivariate distribution
cannot be constructed uniquely, and this is one of the motivations for a stochastic
framework for modeling reservoirs. Such a framework will yield multiple, equi-
probable representations of the RF model. The topic of stochastic simulation of
reservoirs is also the focus of a separate chapter.
Let us begin our discussion with a brief look at the basic measures for spatial
variability/similarity.
In Eq. (2-2), as the averaging is done over all locations making up the Nh pairs
separated by a lag h, the resultant spatial covariance is only a function of the lag.
Thus, stationarity implies that the spatial covariance is a function only of the two-
point spatial template h. The covariance is computed by specifying a spatial template
(Fig. 2-1) and subsequently, translating the spatial template over the entire stationary
domain. This yields several outcomes for Z(u) (tail value) and Z(u + h) (head value),
and using these outcomes the spatial covariance Ĉ(h) can be computed.
Remarks
• The spatial covariance can also be interpreted as the moment of the bivariate
scatterplot between Z(u) and Z(u + h). The presence of outliers will influence
the moment of the h-scatterplot.
2.2 Semi-Variogram
The inference of a spatial covariance or correlogram is possible when the reservoir
characteristic being modeled is stationary. An alternate measure of spatial variability
is the semi-variogram defined as:
If then
and
then the variogram γZ can be interpreted as the semi-variance of increments
. The inf erence of t he var i ogr a mr equi r es s tati onar i t y
of the increments—referred to as intrinsic stationary (Matheron, 1973). A
phenomenon may not be second-order stationarity (i.e., variance and covariance of
the RF may not exist), but it may be intrinsically stationary; i.e., the increments of the
RF may be stationary and its variance may exist. A small example to illustrate this
point follows.
Consider the following layered system. The values tabulated may be indicative of
variations in some rock property (e.g., permeability). In order that the calculated
statistics are not unduly affected by the lack of statistical mass, a hundred values
were used for each layer, and the table only lists ten of those values per layer.
The last column indicates the mean value for each layer, and it can be observed
that there is a trend exhibited by the mean. If we use the tabulated data to compute
the covariance over a unit lag in the vertical direction using Eq. (2-2), the variation in
the covariance values computed using the values in adjacent layers is tabulated
below:
The first value is the spatial covariance calculated using the values in the first two
rows of the table, the second value is the covariance calculated using the values in the
second and third rows of the table, and so on. It can be seen that the spatial
covariance calculated over the same lag exhibits a systematic variation. This, in turn,
calls into question the validity of pooling data over the entire domain (all
combination of points separated by a unit lag in the vertical direction) in order to
compute a spatial covariance.
The semi-variogram values computed using Eq. (2-4) for the same unit lag in the
vertical direction are summarized below:
The first value is the semi-variance of increments computed using the values in
the first two rows, the second value between the second and third rows, and so on.
The semi-variance behaves in a much more stable manner, and thus the semi-
variogram computed by pooling all the data together is much more interpretable. This
would thus be an example of a phenomenon that is not second-order stationary but is
intrinsically stationary.
In the spatial context, the semi-variogram between a pair of locations u and u’ is
defined as:
Under the intrinsic hypothesis:
The lag h = (u - u’) is the vector distance between pairs of locations within the
stationary domain; i.e., the semi-variogram inferred by invoking intrinsic stationarity
loses any specificity to the location u and instead represents the average variability
exhibited by pairs of points separated by a lag h.
FIGURE 2-2 The h-scatterplot between pairs of values separated by a lag h. Along the
45° bisector Z(u) = Z(u + h).
The projection of any point on the scatterplot to the 45° bisector is denoted as di.
From the figure:
data value Z(u) about the 45° bisector. By definition, the moment of inertia is the
sum of the products of the mass of each particle in the body with the square of its
distance from the axis of rotation. In the context of the semi-variogram, the particles
(points) all have the same mass , and the square distance of each particle
Remarks
whent he semi-variogr amins t ead of st abi l i zi ng at a sil l (var i ance ) value os ci llat es
around the variance value. This happens in the case of a spatial (or temporal) periodic
phenomenon, such as a repeat sequence of sand-shale, as shown in Fig. 2-3.
FIGURE 2-3 A layered rock sequence made of alternating sand and shale layers.
As the lag h1 increases within sand, the semi-variogram picks up the variability
within the sand. When the lag vector is such that the tail value is in sand while the
h ead val ue i s i n s hale, t he semi-variogramat t ains i ts maxi mumval ue, indicati ng
maximum variability. But then as the lag increases to h2, the tail value in sand may
correlate with another location u + h2 also in sand, but in a different sequence. Thus,
the semi-variogram value decreases from its previous maximum. But then as the lag
keeps increasing, the semi-variogram rises again because of the variability between
the sand in the two different sequences. Thus, the semi-variogram at large lags shows
a periodic behavior also referred to as a hole effect.
As the lag spacing h decreases, the similarity between the attribute value at a pair
of locations increases, and correspondingly, the semi-variogram values that reflect
spatial variability also decrease. For a phenomenon exhibiting second-order
stationarity, as h → 0, then Cov(h) = Cov(0), the prior variance exhibited by the
phenomenon. Consequently:
The semi-variogram does start at the origin for any natural phenomenon. For a
non-second-order stationary RF, the semi-variogram can be represented as
(Agterberg, 1994):
Even in this case at |h| = 0, the semi-variogram value is 0. However, very close to
origin when |h| = ε, the semi-variogram may actually exhibit a discontinuity or a
jump termed as the nugget effect. There are two possible reasons for this
discontinuity:
Putting all these things together, a typical semi-variogram may be denoted as:
The pure nugget effect model implies a lack of correlation at all lags. Of course,
the semi-variogram value at lag |h| = 0 is identically 0, but at a lag distance
infinitesimally close to 0, the semi-variogram abruptly jumps to the variance value.
In the case of Gaussian RFs, a pure nugget effect implies that F(Z(u)|Z(u + h)) =
FZ(z) and, consequently, E(Z(u)|Z(u + h)) = E(Z(u)); i.e., the data is of no value for
estimating values at unsampled locations. The best estimate corresponding to a pure
nugget scenario is simply the arithmetic average of data:
i.e., no resolution of spatial highs and lows is possible. A pure nugget effect model is
a drastic one that is predicated on a natural geologic system exhibiting absolute
disorder, in which case data does not inform the predictions. As such drastic
situations rarely arise as manifestation of geologic processes, a pure nugget effect
behavior of the semi-variogram is more likely due to sparse data and the difficulty it
poses for inferring a reliable semi-variogram.
2.2.4 Behavior Next to the Origin
A semi-variogram may exhibit different characteristics at short lags depending on the
characteristics of the geologic phenomenon being studied. Some of these
characteristics could be:
Parabolic: The continuous portion of the semi-variogram function; i.e., A(h) exhibits
the following characteristic:
The function A(h) is twice differentiable near the origin; i.e., it exhibits curvature,
as seen in Fig. 2-6. It can be observed in the figure that the rate of climb of the semi-
variogram near the origin is very slow, implying that the phenomenon exhibits a
great deal of continuity (i.e., variability is low) at shorter lag distances.
Linear: In this case, the continuous part of the semi-variogram function can be
written as:
The function A(h) is differentiable only once but is continuous at the origin, as
depicted in Fig. 2-7. The rise of the semi-variogram is steeper in this case and would
be indicative of a phenomenon exhibiting more variability at short lags.
FIGURE 2-7 A semi-variogram exhibiting a linear structure near the origin.
Remark
• The linear or parabolic description of A(h) near the origin has to be combined
with the observed nugget effect in order to arrive at the complete model for
the semi-variogram γ(h), as depicted in Fig. 2-8.
This leads to the following general formulation for the variogram of a continuous,
intrinsic phenomenon:
The power law semi-variogram corresponding to various exponents is depicted in
Fig. 2-9. It is clear that the semi-variogram corresponding to ω = 0 is the pure nugget
effect model.
Remarks
• The power law model γ(h) ∝ |h|ω with 0 < ω < 2 in general does not
converge to a sill and is hence indicative of a non-second-order stationary
phenomenon.
• If γ(h) ∝ |h|ω, then the semi-variogram corresponding to a linearly rescaled
lag h’ = r ⋅ h is γ(h’) ∝ rω|h|ω = rω γ(h) that exhibits the same (rescaled)
characteristic of the original semi-variogram γ(h). That is, the modeled
phenomenon is self-similar at all scales, which is the definition of a fractal
phenomenon (Cheng & Agterberg, 1996).
One way to mitigate influence of outliers would be to exclude outlier pairs from
the scattergram for a particular h. However, it is important to note that a datum that
acts as an outlier for a particular lag h could be representative of the spatial
variability at another lag h’. For example, if the semi-variogram within a sand bed is
being computed, the presence of an occasional low value (corresponding to a shale)
would be an outlier in the h-scatterplot, but that same value would not be an outlier
when calculating the semi-variogram corresponding to lags within the shale. This
implies that the deliberate deletion of outlier data from datasets is probably a bad
idea; instead, it might be more useful to devise other tools that may be used to infer
the spatial structure of the phenomenon despite the presence of outliers.
The sensitivity to outliers is exaggerated by squaring the differences [Z(u) - Z(u +
h)] when computing the semi-variogram value. By computing the semi-variogram as
(Journel, 1988):
the effect of outliers can be dampened. This alternate semi-variogram measure can be
estimated as:
when ω = 2, we are back to the traditional semi-variogram. When ω = 1, we refer to
the madogram (Bacro, Bel & Lantuejoul, 2008) defined as:
The madogram mitigates the influence of the outliers by accounting for only the
first-order difference between the head and tail values of pairs making up the h-
scatterplot. It can thus be estimated as:
The best possible way for mitigating the influence of outliers is perhaps by taking
the logarithm of the values making up the h-scat t erplot .This results in the semi-
variogram of logarithms (Goovaerts, 1997):
It needs to be noted that these alternate measures can be used to detect features
such as the range and anisotropy of the spatial phenomena in the presence of noisy
data. However, these alternate semi-variogram measures do not have a variance
interpretation associated with them and as such cannot be used directly within a
variance-minimization scheme for making predictions such as in kriging. So, the
standard practice is to use these measures to infer the relevant parameters for the
semi-variogram and subsequently use the traditional semi-variogram within spatial
estimation/prediction schemes.
FIGURE 2-12 Semi-variogram exhibiting the effect of proportion effect. (The color
version of this figure is available at www.mhprofessional.com/PRMS.)
A strategy to mitigate the effects of proportion effect would be to standardize the
computed semi-variogram by the locally varying variance. Furthermore, because of
heteroscedasticity, the locally varying variance can be made a function of the lag
mean m(h). Consequently, the generalized relative semi-variogram is defined as:
function Y(h) using a set of basis RFs Z(ui) (Chiles & Delfiner, 1999). This could be,
e.g., the decomposition of permeability heterogeneity in a reservoir into a long-range
component, such as a channel form and a short-range component, e.g., due to trough
cross-bed features. Assume that the basis RFs Z(ui) are described by a common
covariance function C(h). The variance of such a linear combination under second-
order stationarity can be written as:
The variance has to be positive, and consequently, the covariance Cov(hij) in Eq.
(2-17) has to be such that the right-hand side double summation is positive no matter
what the values of λi, N, and hij = ui - uj.
Definition (Strang, 2016) A function ϕ(x, y) is said to be positive definite if and only
if
Furthermore, it is said to be strictly positive definite if and only if:
The implications of the necessary and sufficient condition for positive definiteness
are:
value of ai.
by a positive variance, then the covariance function Cov(hij) exists and is positive
definite.
In the case of a second-order stationary RF,
. Putting all this together, for the variance of the linear combination
This implies that the variogram function γ(hij) should be conditionally negative
Introducing an arbitrary reference RF Z(uo) (or Zo), the right-hand side of the
above equation becomes:
. Furthermore:
Recognizing that in the above equation (the first two terms become
0), we obtain:
Imposing the condition that the variance be necessarily positive results in the same
condition that the semi-variogram γ(Zi − Zj) be conditionally negative definite.
Remarks
case is the covariance that is a function of lag hij = |ui - uj|. The
implication is that the matrix A has to be Hermitian [i.e., the complex-
square matrix is equal to its complex conjugate or f(-x) = , or in
the case of a real valued function, the matrix A has to be symmetric and
f(-x) = f(x).
• It is also necessary (but not sufficient) that f(0) ≥ 0 and |f(x)| ≤ f(0). These
conditions stem from the previous requirement for A to be positive
definite (which requires that all the sub-determinants also be positive
definite—the above two conditions arise out of positive definiteness of
the n = 1, 2 sub-matrices).
• A function is deemed negative semi-definite if the inequalities are reversed,
i.e., f(0) ≤ 0 and |f(x)| ≥ f(0).
• For a strictly positive or negative definite function, the weak inequalities (≤, ≥)
will be replaced by the corresponding strong inequality.
By Fourier inversion:
If the RF Y(u) is isotropic, then the spectral density is only a function of the
magnitude of w, i.e., g(|w|). We denote the magnitude of w as r, i.e., r = |w|.
In order to evaluate the integrals associated with the Fourier transform, it is useful
to perform a polar transformation and work with spherical coordinates (Bracewell,
1986). If we denote by σ, the arc of a unit circle in ℜ2 or equivalently, the sector of a
sphere in ℜ3 and designate a uniform probability density for σ: dσ, we can transform
Cartesian coordinates (x1, x2) to spherical coordinates (r, σ). The derivative dx2
becomes 2πr dr dσ in ℜ2. In ℜ3, the transformation results in dx3 → 4πr2. In general,
Now getting back to the vector of values w, as noted above, the vector is only
positive valued for an isotropic Y(u). In the transformed space, each outcome of σ;
that is, σj has the corresponding probability density dσj. The multivariate joint
distribution of (posit i ve valued) i s t hus descri bed byt he Di richl et dist r i buti on.
As pointed out by Frigyik et al. (Frigyik, Kapila & Gupta, 2010), if the parameters
[αi] are identically 1, then the distribution is uniform over the entire range of its
support. On the other hand, if the parameters [αi] are all less than 1, then the joint
distribution has a spike corresponding to each outcome in its support. Clearly, the
latter is what we want and so the parameters of the Dirichlet distribution are set to
variable.
Now, we are ready to develop a strategy for obtaining positive semi-definite
covariance functions C(h). In the following, we recognize that r =|ω|≥ 0 and
Spheren-1. W
e def i ne the com
p onent of σ int he di rection of h as
Now, getting back to our argument regarding σ being the square root of a Beta
variable, u, the Beta distribution is written as (Nadarajah & Gupta, 2004):
Substituting in the above integral:
The forms of Eq. (2-22) for different values of n are given below:
Equation (2-22) provides a recipe for developing various covariance models that
will be positive semi-definite and will thus be conducive to modeling second-order
RFs. This is achieved by specifying different models for the spectral density g(r).
More details regarding permissible models for covariances and semi-variograms can
be found in Christakos (1984).
The parameter a is the correlation range of the phenomenon being studied. When
p = 1, we get the exponential model:
When p = 2 in Eq. (2-24), we get the Gaussian model (Dubrule, 2017). The
reference specifically talks about conditions when the Gaussian models may not be
permissible to model a spatial phenomenon. The model is written as:
i.e., the higher-order terms converge rapidly to 0, and so the exponential covariance
model behaves in a linear fashion close to the origin (Fig. 2-13).
FIGURE 2-13 Positive semi-definite covariance models of the exponential family.
T hi s suggest s tha t th e covar iance f uncti on exhibi ts a parabolic behavior near the
origin (Fig. 2-13). At short lags, the covariance experiences a very slight decrease
indicating a quasi-deterministic phenomenon.
Matern Model
A general formulation for positive definite covariance models results corresponding
to the spectral density:
The spectral density has an additional parameter s that lends shape to the resultant
covariance function and is referred to as the shape parameter. The corresponding
covariance function expression is (Diggle & Ribeiro, 2007):
Ks is the modified Bessel function of the third kind of order s. The covariance
function corresponding to shape factor s = 2 is shown in Fig. 2-14.
FIGURE 2-14 The Matern model for covariance corresponding to a shape factor of 2
and a covariance range of 8.
As can be seen, the Matern model bears resemblance to the exponential models
described above. In fact, as s → ∞, the Matern model converges to the Gaussian
model and when , the Matern model behaves like the exponential
covariance model. These limiting characteristics of the Matern model are arrived at
by recognizing the similarity of the spectral density function to a Student t-
Indeed, when s → ∞, the variance scales to 0; i.e., the phenomenon acts deterministic
just as in a Gaussian model.
Spherical Model
A positive definite covariance model can be defined by looking at the intersection
between two discs of radii a separated by a distance ρ. Consider a cluster of points
distributed in ℜ3 such that each coordinate of the point is uniformly sampled
(Wackernagel, 2003). The average point density per unit volume is designated as θ,
and NV is the number of such points within a volume V. If we consider a sphere S of
radius a centered at the location u, then the random variable Z(u) is defined as:
Z(u) = N(Su)
The random variable measures the volume of influence of the point u. Next, we
define a binary indicator variable:
The indicator or geometric covariance measures the joint probability that two
points u and u’ = u + ρ fall within Su. This can be computed as:
Alternatively, defining two spheres, Su and Su+ρ, the indicator covariance can be
calculated as the probability that the point u falls within the intersection of Su and
Su+ρ:
The covariance function for the RV Z(u) is simply the centered form of K(ρ) and
can be written as (Wackernagel, 2003):
C(ρ) = θ ⋅ K(ρ)
sphere and so the product θ. |B| represents the prior variance of Z(u) : C(0). At lags
greater than the range a, the volume of the intersection goes to 0 and so does the
covariance.
The spectral density corresponding to the spherical covariance (and semi-
variogram) can be developed but does not reveal any interesting insights. Instead, it
is useful to think of the spherical covariance as a convolution or moving average of
Gaussian white noise. Positive definite covariance models in lower dimensions can
also be derived as the circular covariance (ℜ2) or the triangular covariance (ℜ1) as
wel l in higher dimensi ons i n t erms of i nt ersecti on of n-di m
ens ional hyper- s pher es
(Chiles & Delfiner, 1999).
The spherical model is bounded in that:
Similar to the exponential model, the spherical model also exhibits a linear
characteristic at short lags. However, the slope of the exponential covariance model
is 3 which is double the slope of the spherical model . This implies that the
The reason for the constraint on the value of w is detailed in Chiles & Delfiner
depending on |h|.
Power law variogram represents a self-similar (fractal) phenomena, i.e.,
phenomena for which a characteristic scale cannot be defined.
Remarks
C(r) is positive definite in ℜ1 but not in ℜ2 and for all higher dimensions.
The implications of this are that when modeling a 3D phenomenon,
modeling the semi-variograms in individual directions will not ensure that a
positive definite 3D model would result. On the other hand, if a 3D model is
developed, then semi-variograms in individual directions computed using that
model would be positive definite.
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