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- Title
Characterization theorems for pseudo cross-variograms.
- Authors
Dörr, Christopher; Schlather, Martin
- Abstract
Pseudo cross-variograms appear naturally in the context of multivariate Brown–Resnick processes, and are a useful tool for analysis and prediction of multivariate random fields. We give a necessary and sufficient criterion for a matrix-valued function to be a pseudo cross-variogram, and further provide a Schoenberg-type result connecting pseudo cross-variograms and multivariate correlation functions. By means of these characterizations, we provide extensions of the popular univariate space–time covariance model of Gneiting to the multivariate case.
- Subjects
SCHOENBERG, Arnold, 1874-1951; RANDOM fields; STATISTICAL correlation; VARIOGRAMS; MULTIVARIATE analysis; SPACETIME
- Publication
Journal of Applied Probability, 2023, Vol 60, Issue 4, p1219
- ISSN
0021-9002
- Publication type
Article
- DOI
10.1017/jpr.2022.133