Non-stationary Multivariate Spatial Covariance Estimation via Low-Rank Regularization

  title={Non-stationary Multivariate Spatial Covariance Estimation via Low-Rank Regularization},
  author={Shengli Tzeng and Hsin-Cheng Huang},
  journal={Statistica Sinica},
We introduce a regularization approach for multivariate spatial covariance estimation based on a spatial random effect model. The proposed method is flexible to incorporate not only spatial non-stationarity but also asymmetry in spatial cross-covariances. By introducing a regularization term in the objective function, our method automatically produces a low-rank covariance estimate that effectively controls estimation variability even when the number of parameters is large. In addition, we… 

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  • Statistical Learning for Big Dependent Data



Nonstationary modeling for multivariate spatial processes

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