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arXiv · 1812.00173

A Nonstationary Designer Space-Time Kernel

Michael McCourt·Gregory Fasshauer·David Kozak
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Abstract

In spatial statistics, kriging models are often designed using a stationary covariance structure; this translation-invariance produces models which have numerous favorable properties. This assumption can be limiting, though, in circumstances where the dynamics of the model have a fundamental asymmetry, such as in modeling phenomena that evolve over time from a fixed initial profile. We propose a new nonstationary kernel which is only defined over the half-line to incorporate time more naturally in the modeling process.

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Michael McCourt, Gregory Fasshauer, David Kozak. 2018-12-01. A Nonstationary Designer Space-Time Kernel. https://arxiv.org/abs/1812.00173

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