Meet the professor Friday January 23 at SFU

  • Slides: 39
Download presentation
Meet the professor Friday, January 23 at SFU 4: 30 Beer and snacks reception

Meet the professor Friday, January 23 at SFU 4: 30 Beer and snacks reception

NRCSE Spatial Covariance

NRCSE Spatial Covariance

Valid covariance functions Bochner’s theorem: The class of covariance functions is the class of

Valid covariance functions Bochner’s theorem: The class of covariance functions is the class of positive definite functions C: Why?

Spectral representation By the spectral representation any isotropic continuous correlation on Rd is of

Spectral representation By the spectral representation any isotropic continuous correlation on Rd is of the form By isotropy, the expectation depends only on the distribution G of. Let Y be uniform on the unit sphere. Then

Isotropic correlation Jv(u) is a Bessel function of the first kind and order v.

Isotropic correlation Jv(u) is a Bessel function of the first kind and order v. Hence and in the case d=2 (Hankel transform)

The Bessel function J 0 – 0. 403

The Bessel function J 0 – 0. 403

The exponential correlation A commonly used correlation function is (v) = e–v/. Corresponds to

The exponential correlation A commonly used correlation function is (v) = e–v/. Corresponds to a Gaussian process with continuous but not differentiable sample paths. More generally, (v) = c(v=0) + (1 -c)e–v/ has a nugget c, corresponding to measurement error and spatial correlation at small distances. All isotropic correlations are a mixture of a nugget and a continuous isotropic correlation.

The squared exponential Using yields corresponding to an underlying Gaussian field with analytic paths.

The squared exponential Using yields corresponding to an underlying Gaussian field with analytic paths. This is sometimes called the Gaussian covariance, for no really good reason. A generalization is the power(ed) exponential correlation function,

The spherical Corresponding variogram nugget sill range

The spherical Corresponding variogram nugget sill range

The Matérn class where is a modified Bessel function of the third kind and

The Matérn class where is a modified Bessel function of the third kind and order . It corresponds to a spatial field with [ – 1] continuous derivatives =1/2 is exponential; =1 is Whittle’s spatial correlation; yields squared exponential.

Some other covariance/variogram families Name Covariance Wave Rational quadratic Linear None Power law None

Some other covariance/variogram families Name Covariance Wave Rational quadratic Linear None Power law None Variogram

Estimation of variograms Recall Method of moments: square of all pairwise differences, smoothed over

Estimation of variograms Recall Method of moments: square of all pairwise differences, smoothed over lag bins Problems: Not necessarily a valid variogram Not very robust

A robust empirical variogram estimator (Z(x)-Z(y))2 is chi-squared for Gaussian data Fourth root is

A robust empirical variogram estimator (Z(x)-Z(y))2 is chi-squared for Gaussian data Fourth root is variance stabilizing Cressie and Hawkins:

Least squares Minimize Alternatives: • fourth root transformation • weighting by 1/ 2 •

Least squares Minimize Alternatives: • fourth root transformation • weighting by 1/ 2 • generalized least squares

Maximum likelihood Z~Nn( , ) = [ (si-sj; )] = V( ) Maximize and

Maximum likelihood Z~Nn( , ) = [ (si-sj; )] = V( ) Maximize and maximizes the profile likelihood

A peculiar ml fit

A peculiar ml fit

Some more fits

Some more fits

All together now. . .

All together now. . .

Asymptotics Increasing domain asymptotics: let region of interest grow. Station density stays the same

Asymptotics Increasing domain asymptotics: let region of interest grow. Station density stays the same Bad estimation at short distances, but effectively independent blocks far apart Infill asymptotics: let station density grow, keeping region fixed. Good estimates at short distances. No effectively independent blocks, so technically trickier

Stein’s result Covariance functions C 0 and C 1 are compatible if their Gaussian

Stein’s result Covariance functions C 0 and C 1 are compatible if their Gaussian measures are mutually absolutely continuous. Sample at {si, i=1, . . . , n}, predict at s (limit point of sampling points). Let ei(n) be kriging prediction error at s for Ci, and V 0 the variance under C 0 of some random variable. If limn. V 0(e 0(n))=0, then

The Fourier transform

The Fourier transform

Properties of Fourier transforms Convolution Scaling Translation

Properties of Fourier transforms Convolution Scaling Translation

Parceval’s theorem Relates space integration to frequency integration. Decomposes variability.

Parceval’s theorem Relates space integration to frequency integration. Decomposes variability.

Aliasing Observe field at lattice . Since of spacing the frequencies and ’= +2

Aliasing Observe field at lattice . Since of spacing the frequencies and ’= +2 m/ are aliases of each other, and indistinguishable. The highest distinguishable frequency is , the Nyquist frequency.

Illustration of aliasing Aliasing applet

Illustration of aliasing Aliasing applet

Spectral representation Stationary processes Spectral process Y has stationary increments If F has a

Spectral representation Stationary processes Spectral process Y has stationary increments If F has a density f, it is called the spectral density.

Estimating the spectrum For process observed on nxn grid, estimate spectrum by periodogram Equivalent

Estimating the spectrum For process observed on nxn grid, estimate spectrum by periodogram Equivalent to DFT of sample covariance

Properties of the periodogram Periodogram values at Fourier frequencies (j, k) are • uncorrelated

Properties of the periodogram Periodogram values at Fourier frequencies (j, k) are • uncorrelated • asymptotically unbiased • not consistent To get a consistent estimate of the spectrum, smooth over nearby frequencies

Some common isotropic spectra Squared exponential Matérn

Some common isotropic spectra Squared exponential Matérn

A simulated process

A simulated process

Thetford canopy heights 39 -year thinned commercial plantation of Scots pine in Thetford Forest,

Thetford canopy heights 39 -year thinned commercial plantation of Scots pine in Thetford Forest, UK Density 1000 trees/ha 36 m x 120 m area surveyed for crown height Focus on 32 x 32 subset

Spectrum of canopy heights

Spectrum of canopy heights

Whittle likelihood Approximation to Gaussian likelihood using periodogram: where the sum is over Fourier

Whittle likelihood Approximation to Gaussian likelihood using periodogram: where the sum is over Fourier frequencies, avoiding 0, and f is the spectral density Takes O(N log. N) operations to calculate instead of O(N 3).

Using non-gridded data Consider where Then Y is stationary with spectral density Viewing Y

Using non-gridded data Consider where Then Y is stationary with spectral density Viewing Y as a lattice process, it has spectral density

Estimation Let where Jx is the grid square with center x and nx is

Estimation Let where Jx is the grid square with center x and nx is the number of sites in the square. Define the tapered periodogram where. The Whittle likelihood is approximately

A simulated example

A simulated example

Estimated variogram

Estimated variogram