On Information About Covariance Parameters in Gaussian Mat\'ern Random Fields

TL;DR

This paper investigates the information content of geostatistical data about the smoothness parameter in Gaussian Matérn fields, showing it can be substantial and advocating for data-driven estimation of both range and smoothness parameters.

Contribution

It challenges the belief that data contain little information about the smoothness parameter, demonstrating its potential significance and urging for joint estimation in practice.

Findings

Information about the smoothness parameter can be large, sometimes exceeding that of the range parameter.

The amount of information varies with the true model and sampling design.

Recommends estimating both range and smoothness parameters from data, especially for irregular sampling designs.

Abstract

The Matern family of covariance functions is currently the most commonly used for the analysis of geostatistical data due to its ability to describe different smoothness behaviors. Yet, in many applications the smoothness parameter is set at an arbitrary value. This practice is due partly to computational challenges faced when attempting to estimate all covariance parameters and partly to unqualified claims in the literature stating that geostatistical data have little or no information about the smoothness parameter. This work critically investigates this claim and shows it is not true in general. Specifically, it is shown that the information the data have about the correlation parameters varies substantially depending on the true model and sampling design and, in particular, the information about the smoothness parameter can be large, in some cases larger than the information about the range parameter. In light of these findings, we suggest to reassess the aforementioned practice and instead establish inferences from data-based estimates of both range and smoothness parameters, especially for strongly dependent non-smooth processes observed on irregular sampling designs. A data set of daily rainfall totals is used to motivate the discussion and gauge this common practice.