RMwhittlematern: Whittle-Matern Covariance Model

Description

RMmatern is a stationary isotropic covariance model belonging to the Matern family. The corresponding covariance function only depends on the distance $r \ge 0$ between two points.

The Whittle model is given by $$C(r)=W_{\nu}(r)=2^{1- \nu} \Gamma(\nu)^{-1}r^{\nu}K_{\nu}(r)$$ where $\nu > 0$ and $K_\nu$ is the modified Bessel function of second kind.

The Matern model is given by $$C(r) = \frac{2^{1-\nu}}{\Gamma(\nu)} (\sqrt{2\nu}r)^\nu K_\nu(\sqrt{2\nu}r)$$

Usage

RMwhittle(nu, notinvnu, var, scale, Aniso, proj)
RMmatern(nu, notinvnu, var, scale, Aniso, proj)

Arguments

a numerical value called smoothness parameter; should be greater than 0.

notinvnu

logical, if not given the model is defined as above. (default). This parameter should not be set by users. See the Notes.

var,scale,Aniso,proj

optional parameters; same meaning for any RMmodel. If not passed, the above covariance function remains unmodified.

Value

The function return an object of class RMmodel

Details

RMwhittle and RMmatern are two alternative parametrizations of the same covariance function. The Matern model should be preferred as this model seperates the effects of scaling parameter and the shape parameter.

This is the normal scale mixture model of choice if the smoothness of a random field is to be parametrized: the sample paths of a Gaussian random field with this covariance structure are $m$ times differentiable if and only if $\nu > m$ (see Gelfand et al., 2010, p. 24).

Furthermore, the fractal dimension (see also RFfractaldim) D of the Gaussian sample paths is determined by $\nu$: we have $$D = d + 1 - \nu, \nu \in (0,1)$$ and $D = d$ for $\nu > 1$ where $d$ is the dimension of the random field (see Stein, 1999, p. 32).

If $\nu=0.5$ the Matern model equals RMexp.

For $\nu$ tending to $\infty$ a rescaled Gaussian model RMgauss appears as limit of the Matern model.

For generalisations see section seealso.

References

Chiles, J.-P. and Delfiner, P. (1999)Geostatistics. Modeling Spatial Uncertainty.New York: Wiley.
Gelfand, A. E., Diggle, P., Fuentes, M. and Guttorp, P. (eds.) (2010)Handbook of Spatial Statistics.Boca Raton: Chapman & Hall/CRL.
Guttorp, P. and Gneiting, T. (2006) Studies in the history of probability and statistics. XLIX. On the Matern correlation family.Biometrika93, 989--995.
Handcock, M. S. and Wallis, J. R. (1994) An approach to statistical spatio-temporal modeling of meteorological fields.JASA89, 368--378.
Stein, M. L. (1999)Interpolation of Spatial Data -- Some Theory for Kriging.New York: Springer.
Strokorb, K., Ballani, F., and Schlather, M. (2014) In Preparation.

Examples

Run this code

set.seed(0)
x <- seq(0, 1, len=if (interactive()) 100 else 3)
model <- RMwhittle(nu=1, Aniso=matrix(nc=2, c(1.5, 3, -3, 4)))
plot(model, dim=2, xlim=c(-1,1))
z <- RFsimulate(model=model, x, x, grid=TRUE)
plot(z)

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