Cokriging is the common method of spatial interpolation (best linear unbiased prediction) in multivariate geostatistics. While best linear prediction has been well understood in univariate spatial statistics, the literature for the multivariate case has been elusive so far. The new challenges provided by modern spatial datasets, being typically multivariate, call for a deeper study of cokriging. In particular, we deal with the problem of misspecified cokriging prediction within the framework of fixed domain asymptotics. Specifically, we provide conditions for equivalence of measures associated with multivariate Gaussian random fields, with index set in a compact set of a d-dimensional Euclidean space. Such conditions have been elusive for over about 50 years of spatial statistics.
We then focus on the multivariate Matérn and Generalized Wendland classes of matrix valued covariance functions, that have been very popular for having parameters that are crucial to spatial interpolation, and that control the mean square differentiability of the associated Gaussian process. We provide sufficient conditions, for equivalence of Gaussian measures, relying on the covariance parameters of these two classes. This enables to identify the parameters that are crucial to asymptotically equivalent interpolation in multivariate geostatistics. Our findings are then illustrated through simulation studies.
The work of Moreno Bevilacqua was partially supported by ANID – Millennium Science Initiative Program – NCN17_059 from the Chilean government, by FONDECYT grant 1200068 (Chile) and by regional MATH-AmSud program, grant number 20-MATH-03. Reinhard Furrer was supported by the Swiss National Science Foundation (SNSF-175529). This work was supported partially in part by FONDECYT grant 11200749 and in part by grant DIUBB 2020525 IF/R from the university of Bío-Bío. This publication is based upon work supported by the Khalifa University of Science and Technology under Award No. FSU-2021-016 (E. Porcu).
The authors are grateful to the Referees and Associate Editor for their comments, that lead to a significant improvement of the paper, both in terms of content and exposition.
"Asymptotically equivalent prediction in multivariate geostatistics." Bernoulli 28 (4) 2518 - 2545, November 2022. https://doi.org/10.3150/21-BEJ1427