Spatial Matérn Fields Driven by Non-Gaussian Noise

• The article studies non-Gaussian extensions of a recently discovered link between certain Gaussian random fields, expressed as solutions to stochastic partial differential equations (SPDEs), and Gaussian Markov random fields. The focus is on non-Gaussian random fields with Matérn covariance functions, and in particular, we show how the SPDE formulation of a Laplace moving-average model can be used to obtain an efficient simulation method as well as an accurate parameter estimation technique for the model. This should be seen as a demonstration of how these techniques can be used, and generalizations to more general SPDEs are readily available. © 2013 Board of the Foundation of the Scandinavian Journal of Statistics.

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Nyckelord

Laplace noise

Markov random fields

Expectation-maximization algorithm

Non-Gaussian

Matérn covariances

Stochastic partial differential equation

Publikations- och innehållstyp

art (ämneskategori)

ref (ämneskategori)