Tukey g-and-h Random Fields
报告人： Marc G. Genton, King Abdullah University of Science and Technology (KAUST)
时间：2016-06-02 14:00 ~ 15:00
We propose a new class of trans-Gaussian random fields named Tukey g-and-h (TGH) random fields to model non- Gaussian spatial data. The proposed TGH random fields have extremely flexible marginal distributions, possibly skewed and/or heavy-tailed, and, therefore, have a wide range of applications. The special formulation of the TGH random field enables an automatic search for the most suitable transformation for the dataset of interest while estimating model parameters. An efficient estimation procedure, based on maximum approximated likelihood, is proposed and an extreme spatial outlier detection algorithm is formulated. The probabilistic properties of the TGH random fields, such as second-order moments, are investigated. Kriging and probabilistic prediction with TGH random fields are developed long with prediction confidence intervals. The predictive performance of TGH random fields is demonstrated through extensive simulation studies and an application to a dataset of total precipitation in the south east of the United States. The talk is based on joint work with Ganggang Xu.
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