Positive and negative non-separability for space–time covariance models

Abstract

Separable spatio-temporal covariance models, defined as the product of purely spatial and purely temporal covariance functions, are often used in practice, but frequently they only represent a convenient assumption. On the other hand, non-separable models are receiving a lot of attention, since they are more flexible to handle empirical covariances showed up in applications. Different forms of non-separability for space–time covariance functions have been recently defined in the literature. In this paper, the notion of positive and negative non-separability is further formalized in order to distinguish between pointwise and uniform non-separability. Various well-known non-separable space–time stationary covariance models are analyzed and classified by using the new definition of non-separability. In particular, wide classes of non-separable spatio-temporal covariance functions, able to capture positive and negative non-separability, are proposed and some examples of these classes are given. General results concerning the non-separability of spatial–temporal covariance functions obtained by a linear combination of spatial–temporal covariance functions and some stability properties are also presented. These results can be helpful to generate as well as to select appropriate covariance models for describing space–time data.