Which parameterization of the Matérn covariance function?

Kesen Wang*, Sameh Abdulah, Ying Sun, Marc G. Genton

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

The Matérn family of covariance functions is currently the most popularly used model in spatial statistics, geostatistics, and machine learning to specify the correlation between two geographical locations based on spatial distance. Compared to existing covariance functions, the Matérn family has more flexibility in data fitting because it allows the control of the field smoothness through a dedicated parameter. Moreover, it generalizes other popular covariance functions. However, fitting the smoothness parameter is computationally challenging since it complicates the optimization process. As a result, some practitioners set the smoothness parameter at an arbitrary value to reduce the optimization convergence time. In the literature, studies have used various parameterizations of the Matérn covariance function, assuming they are equivalent. This work aims at studying the effectiveness of different parameterizations under various settings. We demonstrate the feasibility of inferring all parameters simultaneously and quantifying their uncertainties on large-scale data using the ExaGeoStat parallel software. We also highlight the importance of the smoothness parameter by analyzing the Fisher information of the statistical parameters. We show that the various parameterizations have different properties and differ from several perspectives. In particular, we study the three most popular parameterizations in terms of parameter estimation accuracy, modeling accuracy and efficiency, prediction efficiency, uncertainty quantification, and asymptotic properties. We further demonstrate their differing performances under nugget effects and approximated covariance. Lastly, we give recommendations for parameterization selection based on our experimental results.

Original languageEnglish (US)
Article number100787
JournalSpatial Statistics
Volume58
DOIs
StatePublished - Dec 2023

Bibliographical note

Publisher Copyright:
© 2023 Elsevier B.V.

Keywords

  • Fisher information
  • Gaussian process
  • High-performance computing
  • Matérn covariance
  • Model misspecification
  • Prediction efficiency

ASJC Scopus subject areas

  • Statistics and Probability
  • Computers in Earth Sciences
  • Management, Monitoring, Policy and Law

Fingerprint

Dive into the research topics of 'Which parameterization of the Matérn covariance function?'. Together they form a unique fingerprint.

Cite this