Cross-covariance functions for multivariate random fields based on latent dimensions

@inproceedings{Apanasovich2010CrosscovarianceFF,
  title={Cross-covariance functions for multivariate random fields based on latent dimensions},
  author={Tatiyana V. Apanasovich and Tatiyana and Marc G. Genton},
  year={2010}
}
The problem of constructing valid parametric cross-covariance functions is challenging. We propose a simple methodology, based on latent dimensions and existing covariance models for univariate random fields, to develop flexible, interpretable and computationally feasible classes of cross-covariance functions in closed form. We focus on spatio-temporal cross-covariance functions that can be nonseparable, asymmetric and can have different covariance structures, for instance different smoothness… CONTINUE READING
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