Separable approximations of space‐time covariance matrices

Abstract

AbstractStatistical modeling of space‐time data has often been based on separable covariance functions, that is, covariances that can be written as a product of a purely spatial covariance and a purely temporal covariance. The main reason is that the structure of separable covariances dramatically reduces the number of parameters in the covariance matrix and thus facilitates computational procedures for large space‐time data sets. In this paper, we discuss separable approximations of nonseparable space‐time covariance matrices. Specifically, we describe the nearest Kronecker product approximation, in the Frobenius norm, of a space‐time covariance matrix. The algorithm is simple to implement and the solution preserves properties of the space‐time covariance matrix, such as symmetry, positive definiteness, and other structures. The separable approximation allows for fast kriging of large space‐time data sets. We present several illustrative examples based on an application to data of Irish wind speeds, showing that only small differences in prediction error arise while computational savings for large data sets can be obtained. Copyright © 2007 John Wiley & Sons, Ltd.