Spatial Matern Fields Driven by Non-Gaussian Noise
2014 (English)In: Scandinavian Journal of Statistics, ISSN 0303-6898, E-ISSN 1467-9469, Vol. 41, no 3, 557-579 p.Article in journal (Refereed) Published
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 Matern 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.
Place, publisher, year, edition, pages
2014. Vol. 41, no 3, 557-579 p.
expectation-maximization algorithm, Laplace noise, Markov random fields, Matern covariances, non-Gaussian, stochastic partial differential equation
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:umu:diva-93219DOI: 10.1111/sjos.12046ISI: 000340493800001OAI: oai:DiVA.org:umu-93219DiVA: diva2:774328