Multivariate type G Matérn stochastic partial differential equation random fields

David Bolin, Jonas Wallin

Research output: Contribution to journalArticlepeer-review

15 Scopus citations


For many applications with multivariate data, random-field models capturing departures from Gaussianity within realizations are appropriate. For this reason, we formulate a new class of multivariate non-Gaussian models based on systems of stochastic partial differential equations with additive type G noise whose marginal covariance functions are of Matérn type. We consider four increasingly flexible constructions of the noise, where the first two are similar to existing copula-based models. In contrast with these, the last two constructions can model non-Gaussian spatial data without replicates. Computationally efficient methods for likelihood-based parameter estimation and probabilistic prediction are proposed, and the flexibility of the models suggested is illustrated by numerical examples and two statistical applications.
Original languageEnglish (US)
Pages (from-to)215-239
Number of pages25
JournalJournal of the Royal Statistical Society. Series B: Statistical Methodology
Issue number1
StatePublished - Dec 17 2019


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