Abstract
We consider spatial matrix-valued isotropic covariance functions in Euclidean spaces and provide a very short proof of a celebrated characterization result proposed by earlier literature. We then provide a characterization theorem to create a bridge between a class of matrix-valued functions and the class of matrix-valued positive semidefinite functions in finite-dimensional Euclidean spaces. We culminate with criteria of the Pólya type for matrix-valued isotropic covariance functions, and with a generalization of Schlather’s class of multivariate spatial covariance functions. We then challenge the problem of matrix-valued space–time covariance functions, and provide a general class that encompasses all the proposals on the Gneiting nonseparable class provided by earlier literature.
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