On fixed-domain asymptotics, parameter estimation and isotropic Gaussian random fields with Matérn covariance functions

2021 ◽  
Vol 49 (6) ◽  
Author(s):  
Wei-Liem Loh ◽  
Saifei Sun ◽  
Jun Wen
2017 ◽  
Vol 22 ◽  
pp. 388-402 ◽  
Author(s):  
A. Alegría ◽  
S. Caro ◽  
M. Bevilacqua ◽  
E. Porcu ◽  
J. Clarke

Proceedings ◽  
2019 ◽  
Vol 33 (1) ◽  
pp. 5 ◽  
Author(s):  
Christopher G. Albert

A method to reconstruct fields, source strengths and physical parameters based on Gaussian process regression is presented for the case where data are known to fulfill a given linear differential equation with localized sources. The approach is applicable to a wide range of data from physical measurements and numerical simulations. It is based on the well-known invariance of the Gaussian under linear operators, in particular differentiation. Instead of using a generic covariance function to represent data from an unknown field, the space of possible covariance functions is restricted to allow only Gaussian random fields that fulfill the homogeneous differential equation. The resulting tailored kernel functions lead to more reliable regression compared to using a generic kernel and makes some hyperparameters directly interpretable. For differential equations representing laws of physics such a choice limits realizations of random fields to physically possible solutions. Source terms are added by superposition and their strength estimated in a probabilistic fashion, together with possibly unknown hyperparameters with physical meaning in the differential operator.


2014 ◽  
Vol 33 (1) ◽  
pp. 75
Author(s):  
Pablo Gregori ◽  
Emilio Porcu ◽  
Jorge Mateu

This paper represents a survey of recent advances in modeling of space or space-time Gaussian Random Fields (GRF), tools of Geostatistics at hand for the understanding of special cases of noise in image analysis. They can be used when stationarity or isotropy are unrealistic assumptions, or even when negative covariance between some couples of locations are evident. We show some strategies in order to escape from these restrictions, on the basis of rich classes of well known stationary or isotropic non negative covariance models, and through suitable operations, like linear combinations, generalized means, or with particular Fourier transforms.


2021 ◽  
Author(s):  
Kevin Bulthuis ◽  
Eric Y. Larour

Abstract. Assessing the impact of uncertainties in ice-sheet models is a major and challenging issue that needs to be faced by the ice-sheet community to provide more robust and reliable model-based projections of ice-sheet mass balance. In recent years, uncertainty quantification (UQ) has been increasingly used to characterize and explore uncertainty in ice-sheet models and improve the robustness of their projections. A typical UQ analysis involves first the (probabilistic) characterization of the sources of uncertainty followed by the propagation and sensitivity analysis of these sources of uncertainty. Previous studies concerned with UQ in ice-sheet models have generally focused on the last two steps but paid relatively little attention to the preliminary and critical step of the characterization of uncertainty. Sources of uncertainty in ice-sheet models, like uncertainties in ice-sheet geometry or surface mass balance, typically vary in space and potentially in time. For that reason, they are more adequately described as spatio(-temporal) random fields, which account naturally for spatial (and temporal) correlation. As a means of improving the characterization of the sources of uncertainties in ice-sheet models, we propose in this paper to represent them as Gaussian random fields with Matérn covariance function. The class of Matérn covariance functions provides a flexible model able to capture statistical dependence between locations with different degrees of spatial correlation or smoothness properties. Samples from a Gaussian random field with Matérn covariance function can be generated efficiently by solving a certain stochastic partial differential equation. Discretization of this stochastic partial differential equation by the finite element method results in a sparse approximation known as a Gaussian Markov random field. We solve this equation efficiently using the finite element method within the Ice-sheet and Sea-level System Model (ISSM). In addition, spatio-temporal samples can be generated by combining an autoregressive temporal model and the Matérn field. The implementation is tested on a set of synthetic experiments to verify that it captures well the desired spatial and temporal correlations. Finally, we demonstrate the interest of this sampling capability in an illustration concerned with assessing the impact of various sources of uncertainties on the Pine Island Glacier, West Antarctica. We find that both larger spatial and temporal correlations lengths will likely result in increased uncertainty in the projections.


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