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NRCSE

Space-time processes

Separability
Separable covariance structure:
Cov(Z(x,t),Z(y,s))=CS(x,y)CT(s,t)
Nonseparable alternatives
Temporally varying spatial
covariances
Fourier approach
Completely monotone functions

SARMAP revisited
Spatial correlation structure depends
on hour of the day:

QuickTime and a
decompressor
are needed to see this picture.

Brunos seasonal
nonseparability
Y(t,x) = (t,x) + t (x)(x Z1(t) + Z2 (t,x)) + (t,x)
Nonseparability generated by
seasonally changing spatial term t (x )
(uniformly modulated at each time)
Z1 large-scale feature

Z2 separable field of local features


(Bruno, 2004)

General stationary
space-time covariances
Cressie & Huang (1999): By Bochners
theorem, a continuous, bounded,
symmetric integrable C(h;u) is a spacetime covariance function if
ih T
C (u) = e
C(h,u)dh
is a covariance function for all .
Usage: Fourier transform of C(u)
C(h,u)

Problem: Need to know Fourier pairs

Spectral density
Under stationarity and separability,
f(h;
If spatially nonstationary, write

fa,b (

Define the spatial coherency as



R a,b (


Under separability this is independent
of frequency

Estimation
1
Let a,b () = tanh (R a,b ())
(variance stabilizing)
where R is estimated using
f (
a,b

Models-3 output

ANOVA results
Item

df rss

P-value

Between
points
Between
freqs
Residual

0.129

0.68

11.14

0.0008

0.346

Coherence plot

a3,b3

a6,b6

A class of Matrn-type
nonseparable covariances

f(

scale

spatial
decay

temporal
decay

space-time
interaction

=1: separable
=0: time is space (at a diferent rate)

Chesapeake Bay wind field


forecast (July 31, 2002)

Fuentes model

Z(s, t)

Prior equal weight on =0 and =1.


Posterior: mass (essentially) 0 for =0
for regions 1, 2, 3, 5; mass 1 for region
4.

Another approach
Gneiting (2001): A function f is
completely monotone if (-1)nf(n)0 for all
n. Bernsteins
shows that
theorem
rt
f(t) = 0 e dF(r)
for some non-2
decreasing F. In particular, f( h ) is a
spatial covariance function for all
dimensions if f is completely
monotone.
The idea is now to combine a
completely monotone function and a
function with completey monotone
derivative into a space-time covariance
h2
C(h,u) =

2 d/ 2
2
( u )
(u
)

Some examples
(t) = exp(ct ), c > 0,0 < 1
(t) =

c t / 2

2 1()

K (ct1/ 2 ), c > 0, > 0

(t) = (1+ ct ) , c, > 0,0 < 1


(t) = (at + 1) , a > 0,0 < 1,0 1
ln(at + b)
(t) =
, a > 0,b > 1,0 < 1
ln(b)

A particular case

h
2
1
C(h,u) = (u + 1) exp 2

(u + 1)

=1/2,=1/2

=1,=1/2

=1/2,=1

QuickTime and a
decompressor
are needed to see this picture.

=1,=1

Velocity-driven
space-time covariances
CS covariance of purely spatial field
V (random) velocity of field
Space-time covariance
C(h,u)
Frozen field model: P(V=v)=1 (e.g.
prevailing wind)
C(h,

Irish wind data


Daily average wind speed at 11
stations, 1961-70, transformed to
velocity measures
Spatial: exponential with nugget

Temporal: C T (u)

Space-time: mixture of Gneiting model


and frozen field

Evidence of asymmetry

Time lag 1
Time lag 2
Time lag 3

A national US health efects


study

Region 6: S Calif, all 94 sites, fitting and validation


Fitting (63)
Validation (31)

Los Angeles County

Trend model
(si ,t) = 1(si ) + 2 (si ,t)

1(si ) = 0 (si ) + kVik


where Vik are covariates, such as
population density, proximity to roads,
local topography, etc.

2 (si ,t) = j (si )fj (t)

where the fj are smoothed versions of


temporal singular vectors (EOFs) of the
TxN data matrix.
We will set 1(si) = 0(si) for now.

SVD computation
Singular values of T=2912 x S=545 observation matrix
800

600

400
Singular value

200

100

200

300
Index, 1:545

400

500

EOF 1
Annual Trend Component 1

01/01/1987

10/01/1987

07/01/1988

04/01/1989

01/01/1990

10/01/1990

01/01/1994

10/01/1994

dates87to94[1:1456]

01/01/1991

10/01/1991

07/01/1992

04/01/1993

dates87to94[1457:2912]

EOF 2
Annual Trend Component 2

01/01/1987

10/01/1987

07/01/1988

04/01/1989

01/01/1990

10/01/1990

01/01/1994

10/01/1994

dates87to94[1:1456]

01/01/1991

10/01/1991

07/01/1992

04/01/1993

dates87to94[1457:2912]

EOF 3

Annual Trend Component 3

01/01/1987

10/01/1987

07/01/1988

04/01/1989

01/01/1990

10/01/1990

01/01/1994

10/01/1994

dates87to94[1:1456]

01/01/1991

10/01/1991

07/01/1992

04/01/1993

dates87to94[1457:2912]

60370113
0.4

0.2
sqrt(max 8hr O3)
0.0
01/01/1989

01/01/1990

01/01/1991

01/01/1992

01/01/1993

01/01/1994

01/01/1993

01/01/1994

01/01/1993

01/01/1994

1987-1994

61112003
0.4

0.2
sqrt(max 8hr O3)
0.0
01/01/1989

01/01/1990

01/01/1991

01/01/1992
1987-1994

61111003
0.4

0.2
sqrt(max 8hr O3)
0.0
01/01/1989

01/01/1990

01/01/1991

01/01/1992
1987-1994

Kriging of 0

Kriging of 2

Quality of trend fits


Fitted trend (solid) vs Predicted (dashed): 060371002
0.4
0.2
sq rt Ozone
0.0
01/01/1989

01/01/1990

01/01/1991

01/01/1992

01/01/1993

01/01/1994

Date

Fitted trend (solid) vs Predicted (dashed): 060371301


0.4
0.2
sq rt Ozone
0.0
01/01/1989

01/01/1990

01/01/1991

01/01/1992

01/01/1993

01/01/1994

Date

Fitted trend (solid) vs Predicted (dashed): 060375001


0.4
0.2
sq rt Ozone
0.0
01/01/1989

01/01/1990

01/01/1991

01/01/1992

01/01/1993

01/01/1994

Observed vs. predicted


Observed (points) vs Predicted (lines): 060371301
0.4

0.2
sq rt Ozone

0.0
01/01/1989

04/01/1989

07/01/1989

10/01/1989

01/01/1990

04/01/1990

07/01/1990

10/01/1990

04/01/1992

07/01/1992

10/01/1992

04/01/1994

07/01/1994

10/01/1994

Date

0.4

0.2
sq rt Ozone

0.0
01/01/1991

04/01/1991

07/01/1991

10/01/1991

01/01/1992
Date

0.4

0.2
sq rt Ozone

0.0
01/01/1993

04/01/1993

07/01/1993

10/01/1993

01/01/1994
Date

A model for counts


Work by Monica Chiogna, Carlo Gaetan,
U. Padova
Blue grama (Bouteloua gracilis)

The data
Yearly counts
of blue grama
plants in a
series of 1 m2
quadrats in a
mixed grass
prairie (38.8N,
99.3W) in
Hays, Kansas,
between 1932
and1972 (41
years).

Some views

Modelling
Aim: See if spatial distribution is
changing with time.
Y(s,t)(s,t) ~ Po((s,t))
log((s,t)) = constant
+ fixed efect of temp & precip
+ trend
+ weighted average of
principal fields

Principal fields

Coefficients

Years