Covariance approximation for large multivariate spatial data sets with an application to multiple climate model errors
KAUST Grant NumberKUS-C1-016-04
Permanent link to this recordhttp://hdl.handle.net/10754/597892
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AbstractThis paper investigates the cross-correlations across multiple climate model errors. We build a Bayesian hierarchical model that accounts for the spatial dependence of individual models as well as cross-covariances across different climate models. Our method allows for a nonseparable and nonstationary cross-covariance structure. We also present a covariance approximation approach to facilitate the computation in the modeling and analysis of very large multivariate spatial data sets. The covariance approximation consists of two parts: a reduced-rank part to capture the large-scale spatial dependence, and a sparse covariance matrix to correct the small-scale dependence error induced by the reduced rank approximation. We pay special attention to the case that the second part of the approximation has a block-diagonal structure. Simulation results of model fitting and prediction show substantial improvement of the proposed approximation over the predictive process approximation and the independent blocks analysis. We then apply our computational approach to the joint statistical modeling of multiple climate model errors. © 2012 Institute of Mathematical Statistics.
CitationSang H, Jun M, Huang JZ (2011) Covariance approximation for large multivariate spatial data sets with an application to multiple climate model errors. The Annals of Applied Statistics 5: 2519–2548. Available: http://dx.doi.org/10.1214/11-AOAS478.
SponsorsThis publication is based in part on work supported by Award No. KUS-C1-016-04, made by King Abdullah University of Science and Technology (KAUST).Supported in part by NSF Grant DMS-10-07618.Supported in part by NSF Grant DMS-09-06532.Supported in part by NSF Grant DMS-09-07170 and the NCI Grant CA57030.
PublisherInstitute of Mathematical Statistics
JournalThe Annals of Applied Statistics