Multivariate type G Matérn stochastic partial differential equation random fields

@article{Bolin2019MultivariateTG,
title={Multivariate type G Mat{\'e}rn stochastic partial differential equation random fields},
author={D. Bolin and J. Wallin},
journal={Journal of The Royal Statistical Society Series B-statistical Methodology},
year={2019},
volume={82},
pages={215-239}
}

Journal of The Royal Statistical Society Series B-statistical Methodology

For many applications with multivariate data, random-field models capturing departures from Gaussianity within realizations are appropriate. For this reason, we formulate a new class of multivariate non-Gaussian models based on systems of stochastic partial differential equations with additive type G noise whose marginal covariance functions are of Matern type. We consider four increasingly flexible constructions of the noise, where the first two are similar to existing copula-based models. In… CONTINUE READING