Necessary and sufficient conditions for asymptotically optimal linear prediction of random fields on compact metric spaces

TL;DR

This paper establishes the exact conditions under which linear predictors for random fields on compact metric spaces are asymptotically optimal, even when using incorrect covariance models, with broad applicability to various types of fields.

Contribution

It provides the first necessary and sufficient conditions for the asymptotic optimality of linear predictors with potentially misspecified second order structures on general metric spaces.

Findings

Conditions for asymptotic optimality are characterized mathematically.

Results apply to fields with Matérn, periodic, and isotropic covariance functions.

The theory is illustrated on Euclidean spaces and the sphere.

Abstract

Optimal linear prediction (aka. kriging) of a random field $\{Z(x)\}_{x\in\mathcal{X}}$ indexed by a compact metric space $(\mathcal{X},d_{\mathcal{X}})$ can be obtained if the mean value function $m\colon\mathcal{X}\to\mathbb{R}$ and the covariance function $\varrho\colon\mathcal{X}\times\mathcal{X}\to\mathbb{R}$ of $Z$ are known. We consider the problem of predicting the value of $Z(x^*)$ at some location $x^*\in\mathcal{X}$ based on observations at locations $\{x_j\}_{j=1}^n$ which accumulate at $x^*$ as $n\to\infty$ (or, more generally, predicting $\varphi(Z)$ based on $\{\varphi_j(Z)\}_{j=1}^n$ for linear functionals $\varphi,\varphi_1,\ldots,\varphi_n$). Our main result characterizes the asymptotic performance of linear predictors (as $n$ increases) based on an incorrect second order structure $(\tilde{m},\tilde{\varrho})$, without any restrictive assumptions on $\varrho,\tilde{\varrho}$ such as stationarity. We, for the first time, provide necessary and sufficient conditions on $(\tilde{m},\tilde{\varrho})$ for asymptotic optimality of the corresponding linear predictor holding uniformly with respect to $\varphi$. These general results are illustrated by weakly stationary random fields on $\mathcal{X}\subset\mathbb{R}^d$ with Mat\'ern or periodic covariance functions, and on the sphere $\mathcal{X}=\mathbb{S}^2$ for the case of two isotropic covariance functions.