TY - JOUR

T1 - NECESSARY AND SUFFICIENT CONDITIONS FOR ASYMPTOTICALLY OPTIMAL LINEAR PREDICTION OF RANDOM FIELDS ON COMPACT METRIC SPACES

AU - Kirchner, Kristin

AU - Bolin, David

N1 - KAUST Repository Item: Exported on 2022-04-26
Acknowledgements: The authors thank S.G. Cox and J.M.A.M. van Neerven for fruitful discussions on spectral theory, which considerably contributed to the proof of Lemma B.2; see Appendix B in the Supplementary Material [9]. In addition, we thank the Editor and an anonymous reviewer for their valuable comments

PY - 2022/4/7

Y1 - 2022/4/7

N2 - Optimal linear prediction (aka. kriging) of a random field {Z(x)}(x is an element of X )indexed by a compact metric space (X, d(X)) can be obtained if the mean value function m : chi -> R and the covariance function Q: X x X -> R of Z are known. We consider the problem of predicting the value of Z (x*) at some location x* is an element of X based on observations at locations {x(j)}(j=1)(n), which accumulate at x* as n -> infinity (or, more generally, predicting phi(Z) based on {phi(j)(Z)}(j=i)(n) for linear functionals phi, phi(1), ..., phi(n)). Our main result characterizes the asymptotic performance of linear predictors (as n increases) based on an incorrect second-order structure ((m) over tilde, (rho) over tilde), without any restrictive assumptions on rho, (rho) over tilde such as stationarity. We, for the first time, provide necessary and sufficient conditions on ((m) over tilde, (rho) over tilde) for asymptotic optimality of the corresponding linear predictor holding uniformly with respect to phi. These general results are illustrated by weakly stationary random fields on X subset of R-d with Matern or periodic covariance functions, and on the sphere X = S-2 for the case of two isotropic covariance functions

AB - Optimal linear prediction (aka. kriging) of a random field {Z(x)}(x is an element of X )indexed by a compact metric space (X, d(X)) can be obtained if the mean value function m : chi -> R and the covariance function Q: X x X -> R of Z are known. We consider the problem of predicting the value of Z (x*) at some location x* is an element of X based on observations at locations {x(j)}(j=1)(n), which accumulate at x* as n -> infinity (or, more generally, predicting phi(Z) based on {phi(j)(Z)}(j=i)(n) for linear functionals phi, phi(1), ..., phi(n)). Our main result characterizes the asymptotic performance of linear predictors (as n increases) based on an incorrect second-order structure ((m) over tilde, (rho) over tilde), without any restrictive assumptions on rho, (rho) over tilde such as stationarity. We, for the first time, provide necessary and sufficient conditions on ((m) over tilde, (rho) over tilde) for asymptotic optimality of the corresponding linear predictor holding uniformly with respect to phi. These general results are illustrated by weakly stationary random fields on X subset of R-d with Matern or periodic covariance functions, and on the sphere X = S-2 for the case of two isotropic covariance functions

UR - http://hdl.handle.net/10754/663633

UR - https://projecteuclid.org/journals/annals-of-statistics/volume-50/issue-2/Necessary-and-sufficient-conditions-for-asymptotically-optimal-linear-prediction-of/10.1214/21-AOS2138.full

U2 - 10.1214/21-AOS2138

DO - 10.1214/21-AOS2138

M3 - Article

VL - 50

SP - 1038

EP - 1065

JO - Annals of Statistics

JF - Annals of Statistics

SN - 0090-5364

IS - 2

ER -