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Covariance Functions
Noel C RESSIE, and Hsin-Cheng H UANG
Suppose that a random process Z (s; t), indexed in space and time, has a spatio-temporal stationary covariance C (h; u), where
h 2 IRd (d 1) is a spatial lag and u 2 IR is a temporal lag. Separable spatio-temporal covariances have the property that
they can be written as a product of a purely spatial covariance and a purely temporal covariance. Their ease of denition is
counterbalanced by the rather limited class of random processes to which they correspond. In this article, we derive a new
approach that allows one to obtain many classes of nonseparable, spatio-temporal stationary covariance functions and we t
several such to spatio-temporal data on wind speed over a region in the tropical western Pacic ocean.
Cressie, 1993, Sections 2.3 and 2.5) and hence they can
be combined in product form via (5) to give valid spatio- If, in addition, C(; ) is integrable, then
temporal covariance models. A simple example of a sep- Z Z
arable model (5) is: C 1(h) = exp(?1 khk); 1 > 0, and g(! ; ) = (2)?d?1 e?ih !?iu C(h; u)dhdu
0
are often chosen for convenience rather than for their abil- Z
ity to t the data well; at least they are guaranteed to = eiu g(! ; )d:
satisfy (3) and hence are valid.
However, the class (5) is severely limited, since it does The construction of C, or equivalently of g, in this article
not model space-time interaction. Notice that, for any two proceeds by specifying appropriate models for h(! ; u). We
xed spatial lags h1 and h2 , assume that
C 0 (h1; u) / C 0(h2 ; u); u 2 IR: h(!; u) = (! ; u)k(!); (7)
Thus, for two spatial locations, the cross-covariance func- where the following two conditions are satised:
tion between the time series at each location always has (C1) For each ! 2 IRRd , (!; ) is a continuous autocorre-
the same shape, regardless of the relative displacement of lation
R function, (! ; u)du < 1, and k(! ) > 0.
the locations. An analogous result holds for any pair of (C2) k(! )d! < 1.
time points and the cross-covariance function of the two Then (6) becomes
spatial processes. Z
Another type of separability involves adding spatial and g(! ; ) (2) k(! ) e?iu (!; u)du > 0;
? 1
uous spatio-temporal covariance functions C(h; u). Based is a continuous spatio-temporal covariance function in
on the results in Section 2, we have only to look for func- IRd IR. So, a three-parameter spatio-temporal station-
tions (! ; u)k(!) that satisfy the two conditions (C1) ary covariance family can be given as,
and (C2) and for which the integral in (8) can be eval-
uated. Then C(h; u) dened by (8) is a continuous spatio- 0 2
b kh
C (h; uj) = (ajuj + 1)d=2 exp ? ajuj + 1 ;
2
k 2
is a continuous spatio-temporal covariance function in (8) and Matern (1960, p. 17), the function, expf?(juj +
IRd IR. So, a three-parameter spatio-temporal station- c0)khk2g, is a valid spatio-temporal covariance function in
ary covariance family can be given as, IRd IR. Again, because the product of two valid covariance
functions is a valid covariance function, we obtain
2(ajuj + 1)
C 0 (h; uj) = f(ajuj + 1) ;
2 + b2 khk2 g(d+1)=2 C(h; u) /
where = (a; b; 2)0, a 0 is the scaling parameter of expf?(juj + c0)khk2 ? a0 jujg; a0 > 0; c0 > 0:
time, b 0 is the scaling parameter of space, and 2 = So, a four-parameter spatio-temporal stationary covari-
C 0(0; 0j) > 0. Again, without loss of generality, we have ance family can be given as,
put c0 = 1.
Example 5. Let C 0(h; uj) = 2 expf?ajuj ? b2khk2 ? cjujkhk2g;
cd=2
k ! k k ! k where where = (a; b; c; 2)0, a 0 is the scaling pa-
(! ; u) = 2
2 2
0
exp ? 4(u2 + c ) + 4c rameter of time, b 0 is the scaling parameter of space,
(u + c0)d=2 0 0
c 0, and 2 = C 0 (0; 0j) > 0. Notice that a separable
and covariance function is obtained when c = 0.
!k ; c0 > 0:
Example 7. Let
k(! ) = exp ? k4c
2
and >
if khk > 0;
>
>
> c d=
!k ; c0 > 0:
2 2
Since for each ! 2 IRd , (!; u) is decreasing and convex where = (a; b; c; ; 2)0 , a 0 is the scaling parameter
for u 2 (0; 1), it follows that condition (C1) is satised. of time, b 0 is the scaling parameter of space, c > 0,
Also, condition (C2) is clearly satised. Therefore, from
n
Contour plot of C (h; u) 4 exp ?
(u2 + 1)1=2(u2 + 4)
Figure 4.
Contour plot of C (h; u) exp ? u2 ?khk2 ? cu2 khk2 ,
u2 +1
1=2 o
khk , versus khk and juj, where h = (h1 ; h2 ). The hor-
Figure 3.
> 0, and 2 = C 0(0; 0j) > 0. Notice that a separable Tol(h(l)) is some specied \tolerance" region around h(l),
covariance function is obtained when c = 1. and jN(h(l); u)j is the number of distinct elements in
In particular, for = 12 , we obtain a four-parameter N(h(l); u); l = 1; : : :; L, u = 0; 1; : : :; U. The parame-
spatio-temporal covariance family given as ter in a parametric spatio-temporal covariance function
C 0 (h; uj) = C 0(h; uj) can then be estimated by tting f2^
(h(l); u)g
2 2 to the spatio-temporal variogram,
2 cd=2 exp ? b a u + 1 1=2khk ; ?
(a2 u2 + 1)1=2(a2u2 + c)d=2 a2 u 2 + c 2
(h; uj) var Z(s + h; t + u) ? Z(s; u)
where = (a; b; c; 2)0 . The contour plot of the spatio- = C 0(0; 0j) ? C 0(h; uj); h 2 IRd ; u 2 IR:
temporal covariance function for = 1=2, a = b = 2 = 1, We use the weighted-least-squares method (e.g., Cressie,
c = 4, and d = 2 is shown in Figure 4. 1993, p. 96-97) to estimate , by minimizing
4. APPLICATION TO WIND-SPEED DATA U
L X
jN(h(l); u)j
(
^h(h(l);
W( )
X (l); u) ? 1 2 (9)
In this section, we apply the new classes of spatio-temporal
l=1 u=0 uj)
stationary covariance functions to the problem of mapping
the east-west component of the wind speed over a region over all possible . Zimmerman and Zimmerman (1991)
in the tropical western Pacic ocean. The data used in performed simulation experiments to compare (9) with
this article are collected on a regular grid of 17 x 17 sites likelihood-based methods and found that weighted least
with grid spacing of about 210km.Observations were taken squares is sometimes the best tting procedure and never
every six hours from November 1992 through February does badly.
1993. That is, there are 289 spatial locations and 480 time The estimated variogram based on 27 spatial lags, up
points. to half the maximum possible distance, and 51 time
We rst do some exploratory data analysis. Figure 5 lags is shown in Figure 8. From Figure 8, we can see
shows the wind-speed elds (in m/s) at each of the rst a clear nonseparable feature for the spatio-temporal co-
15 time points, as well as the wind-speed eld averaged variance, since the covariance (or variogram) for a larger
over the 480 time points, where a positive value represents spatial lag is almost constant, while the covariance for
an east wind and a negative value represents a west wind. a smaller spatial lag is not. Recall that for a separable
We can see strong spatio-temporal dependence from the spatio-temporal stationary covariance function, we have
rst 15 wind-speed elds. We can also see that the mean C 0(h1 ; u) / C 0 (h2 ; u); u 2 IR. Therefore, it is not appro-
wind-speed eld is relatively
at. Figure 6 shows the time priate to t a separable spatio-temporal covariance func-
series plots of wind speed (in m/s) for sites at locations tion to the wind-speed data.
(5; 5), (5; 13), (13; 5), (13; 13), where we have used Carte- To select an appropriate spatio-temporal covariance
sian coordinates based on the grid f1; :::; 17g f1; :::; 17g. function among the seven classes of models, we rst look at
A plot of the sample standard deviation versus the sam- the empirical spatial variogram for each time lag. We can
ple mean of wind speed (over time) obtained from each see that the empirical spatial variogram for smaller time
of the 289 sites is shown in Figure 7. No specic pattern lags is clearly concave in khk, which is satised only by the
(e.g., increasing pattern) is seen in this gure, indicating spatio-temporal variograms of Example 2, Example 4, and
homoskedasticity. Therefore, from Figure 5, Figure 6, and Example 6. Therefore, we consider three spatio-temporal
Figure 7, a spatio-temporal stationarity assumption of the variogram models based on these three examples with the
wind-speed eld seems reasonable. function 2 I(h = 0; u = 0) added to each variogram to
Let Z(si ; t) be the observed east-west component of the account for the nugget eect (see Section 5). We also con-
wind speed (in m/s) for time t at site i; t = 1; : : :; 480, sider the addition of a purely spatial variogram 21khk2 ,
i = 1; : : :; 289. The empirical spatio-temporal variogram which is needed to account for the empirical spatial vari-
estimator is given by ogram having almost the same shape for any larger time
2^
(h(l); u) lag. Then the three spatio-temporal semivariogram models
1 X ?
are given as follows:
Z(s ; t) ? Z(s ; t 0 ) 2 ;
jN(h(l); u)j (i;j;t;t )2N (h(l);u)
0
i j
Time series plots of wind speed (in m/s) for sites (5; 5),
where Figure 6.
(5; 13), (13; 5), (13; 13) located on the grid f1; : : : ; 17g f1; : : : ; 17g.
N(h(l); u) (i; j; t; t0) : si ? sj 2 Tol(h(l));
jt ? t0 j = u; i; j = 1; : : :; 289 ; Sample standard deviation versus sample mean of wind
Figure 7.
speed (in m/s). Means and standard deviations are calculated over
time at each observation location.
Figure 5. Wind-speed elds (in m/s) for the rst 15 time points
and the mean wind-speed eld (over time) on 17 17 = 289 wind-
speed sites. Note that a positive value represents an east wind and a Empirical spatio-temporal variogram evaluated at spatio-
Figure 8.
negative value represents a west wind. temporal lags fh(1); : : : ; h(27)g f0; 1; : : : ; 50g.
6 Journal of the American Statistical Association,
Model I. Based on Example 2, dene the semivariogram of the tted spatio-temporal variogram function based on
model, Model III is displayed in Figure 10.
1 (h8; uj) Table 1. Comparable parameter estimates for Model I, II, and III.
>
> 0; if u = khk = 0; Model I Model II Model III
<
1
b2
khk 2
2 1 ? ajuj + 1 exp ? ajuj + 1
1 3:33 10?6 3:53 10?6 3:65 10?6
> 2 1:999 1:999 1:999
>
:
+ 2 + 1 khk2 ; otherwise: 2 5:895 5:861 5:313
2 0:164 0 0:275
W () 2:01172 106 1:94985 106 1:88228 106
Using the weighted-least-squares criterion (9) for esti-
2 0
?
mating a; b; 1; 2; ; , we obtain a = 0:399,
2
b = 0:00238, c = 0, 1 = 3:65 10?6 , 2 = 1:999, IR1 for each ! 2 IRd . Now, if we can write K! (u) =
2 = 5:313, and 2 = 0:275. The weighted-least-squares (! ; u)k(!R ), where (! ; ) is a positive correlation func-
value is W( ) = 1:88228 106. tion and (! ; u)du < 1 for each ! 2 IRd , we see that
Table 1 displays comparable parameter estimates for equation (10) is a special case of equation (7), where (C1)
the three models. The contour plots of the tted spatio- is satised. Hence, if the integrability condition (C2) is
temporal variogram functions for Model I, Model II, and also satised, the integral on the right hand side of (8)
Model III, with respect to the spatial lag khk and the tem- is C 1 (hj(u)), which from Section 2 is a valid spatio-
poral lag u, are shown in Figure 9 (a), (b), and (c), respec- temporal covariance function.
tively. Based on the smallest weighted-least-squares value Finally, although our results have been presented in a
of W( ), Model III provides the closest t. We conclude spatio-temporal context, they also allow construction of
that, for the wind-speed data, the nonseparable empirical valid covariance models in IRd+1 based on spatial covari-
variogram is better tted by a purely spatial variogram ance models in IRd and IR1 . For example, putting d = 2
plus a spatio-temporal variogram with spatio-temporal in- and u = h3 in (8) yields a valid stationary covariance
teraction parameter c = 0. The three-dimensional plot model, C(h1; h2; h3), in IR3 .
[Received , 1998. Revised , 1999.] Matern, B., (1960), Spatial Variation. Meddelanden fran Statens
Skogsforskningsinstitut, 49, No. 5. [Second edition (1986), Lecture
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