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Space time process

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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

(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)

Spectral density

Under stationarity and separability,

f(h;

If spatially nonstationary, write

fa,b (

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)

forecast (July 31, 2002)

Fuentes model

Z(s, t)

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()

(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,

Daily average wind speed at 11

stations, 1961-70, transformed to

velocity measures

Spatial: exponential with nugget

Temporal: C T (u)

and frozen field

Evidence of asymmetry

Time lag 1

Time lag 2

Time lag 3

study

Fitting (63)

Validation (31)

Trend model

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

where Vik are covariates, such as

population density, proximity to roads,

local topography, etc.

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

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

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

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

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 (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

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

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