Conditional Spectral Simulation with Phase Identification

Spectral simulation is used widely in electrical engineering to generate random fields with a given covariance spectrum. The algorithms used are fast particularly when based on Fast Fourier Transform (FFT). However, because of lack of phase identification, spectral simulation only generates unconditional realizations. Local data conditioning is obtained typically by adding a simulated kriging residual. This conditioning process requires an additional kriging at each simulated node thus forfeiting the speed advantage of FFT. A new algorithm for conditioning is proposed whereby the phase values are determined iteratively to ensure approximative data reproduction while reproducing the frequency spectrum, that is, the covariance model. A case study is presented to demonstrate the algorithm.     

The spectrum of random ICRF source angular velocities

The spectrum of the random angular velocities of ICRF sources is analyzed. This spectrum is calculated assuming that the apparent angular velocities of the sources are random and uncorrelated, and that the directions of the motions of each source are uniformly distributed over a circle. The amplitudes of the vector spherical harmonics display a white-noise spectrum. Published observational data are considered, and preliminary conclusions are drawn about the nature of the observed dipole and quadrupole harmonics in the spectrum of angular velocities.     

Automatic Modeling of (Cross) Covariance Tables Using Fast Fourier Transform

Covariance models provide the basic measure of spatial continuity in geostatistics. Traditionally, a closed-form analytical model is fitted to allow for interpolation of sample Covariance values while ensuring the positive definiteness condition. For cokriging, the modeling task is made even more difficult because of the restriction imposed by the linear coregionalization model. Bochner's theorem maps the positive definite constraints into much simpler constraints on the Fourier transform of the covariance, that is the density spectrum. Accordingly, we propose to transform the experimental (cross) covariance tables into quasidensity spectrum tables using Fast Fourier Transform (FFT). These quasidensity spectrum tables are then smoothed under constraints of positivity and unit sum. A backtransform (FFT) yields permissible (jointly) positive definite (cross) covariance tables. At no point is any analytical modeling called for and the algorithm is not restricted by the linear coregionalization model. A case study shows the proposed covariance modeling to be easier and much faster than the traditional analytical covariance modeling, yet yields comparable kriging or simulation results.     

Complex-Valued Random Fields for Vectorial Data: Estimating and Modeling Aspects

Complex-valued random fields represent a natural extension of real-valued random fields and can be useful for modeling vectorial data in two dimensions (i.e., a wind field). In such a case, some theoretical issues arise concerning generating and fitting complex covariance functions to be used for prediction purposes. In this paper, some general aspects and properties of complex-valued random fields are summarized and a procedure to fit complex stationary covariance functions is proposed. A case study for analyzing wind speed data is presented.     

Point-block covariance: A general solution for the two-dimensional stationary random functions

The application of the theory of random functions to problems of ore evaluation may involve computations of the covariance between the mean value of a given block and the functional value at a given point. However, an analytical solution for such a covariance does not exist for nonspherical blocks and for commonly applied models of covariance functions. Further, because this covariance is a function of the spatial arrangements of the block and the point, it has to be evaluated numerically each time for given point—block arrangements. This paper presents a readily available general solution to this problem in the form of a series of graduated curves which, together with some geometric manipulations, may be used to compute the covariance between a pointand a two-dimensional block for all possible point—block arrangements. The availability of the graph thus eliminates the necessity of using the time-absorbing programs on computers for such computations. Finally, many of the approximations that are made in order to avoid cumbersome covariance evaluations are no longer necessary due to the ease of such computations with the help of the graph provided.     

On the Validity of Commonly Used Covariance and Variogram Functions on the Sphere

Covariance and variogram functions have been extensively studied in Euclidean space. In this article, we investigate the validity of commonly used covariance and variogram functions on the sphere. In particular, we show that the spherical and exponential models, as well as power variograms with 0<α≤1, are valid on the sphere. However, two Radon transforms of the exponential model, Cauchy model, the hole-effect model and power variograms with 1<α≤2 are not valid on the sphere. A table that summarizes the validity of commonly used covariance and variogram functions on the sphere is provided.     

Propagation of non-stationary random waves in viscoelastic stratified solids

This paper covers propagation of non-stationary random waves in stratified materials. The layered solid considered is located above the bedrock, whose material properties are assumed to be much stiffer than the solid, and known power spectrum densities of the non-stationary random excitations are input at the bedrock. The governing differential equations are derived in the frequency and wavenumber domain and the response power spectrum densities of the ground are investigated. The solution method presented uses the pseudo-excitation method in combination with the precise integration method and the extended Wittrick–Williams algorithm. The examples have up to three layers.     

Cokriging nonstationary data

Universal cokriging is used to obtain predictions when dealing with multivariate random functions. An important type of nonstationarity is defined in terms of multivariate random functions with increments which are stationary of orderk. The covariance between increments of different variables is modeled by means of the pseudo-cross-covariance function. Criteria are formulated to which the parameters of pseudo-cross-covariance functions must comply so as to ensure positive-definiteness. Cokriging equations and the induced cokriging equations are given. The study is illustrated by an example from soil science.     

Cokriging nonstationary data

Universal cokriging is used to obtain predictions when dealing with multivariate random functions. An important type of nonstationarity is defined in terms of multivariate random functions with increments which are stationary of orderk. The covariance between increments of different variables is modeled by means of the pseudo-cross-covariance function. Criteria are formulated to which the parameters of pseudo-cross-covariance functions must comply so as to ensure positive-definiteness. Cokriging equations and the induced cokriging equations are given. The study is illustrated by an example from soil science.     

Indicator Variogram Models: Do We Have Much Choice?

Many variogram (or covariance) models that are valid—or realizable—models of Gaussian random functions are not realizable indicator variogram (or covariance) models. Unfortunately there is no known necessary and sufficient condition for a function to be the indicator variogram of a random set. Necessary conditions can be easily obtained for the behavior at the origin or at large distance. The power, Gaussian, cubic or cardinal-sine models do not fulfill these conditions and are therefore not realizable. These considerations are illustrated by a Monte Carlo simulation demonstrating nonrealizability over some very simple three-point configurations in two or three dimensions. No definitive result has been obtained about the spherical model. Among the commonly used models for Gaussian variables, only the exponential appears to be a realizable indicator variogram model in all dimensions. It can be associated with a mosaic, a Boolean or a truncated Gaussian random set. In one dimension, the exponential indicator model is closely associated with continuous-time Markov chains, which can also lead to more variogram models such as the damped oscillation model. One-dimensional random sets can also be derived from renewal processes, or mosaic models associated with such processes. This provides an interesting link between the geostatistical formalism, focused mostly on two-point statistics, and the approach of quantitative sedimentologists who compute the probability distribution function of the thickness of different geological facies. The last part of the paper presents three approaches for obtaining new realizable indicator variogram models in three dimensions. One approach consists of combining existing realizable models. Other approaches are based on the formalism of Boolean random sets and truncated Gaussian functions.     

Modeling Ocean Currents Through Complex Random Fields Indexed in Time

Surface ocean currents are often of interest in environmental monitoring. These vectorial data can be reasonably treated as a finite realization of a complex-valued random field, where the decomposition in modulus (current speed) and direction (current direction) of the current field is natural. Moreover, when observations are also available for different time points (other than at several locations), it is useful to evaluate the evolution of their complex correlation over time (rather than in space) and the corresponding modeling which is required for estimation purposes. This paper illustrates a first approach where the temporal profile of surface ocean currents is considered. After introducing the fundamental aspects of the complex formalism of a random field indexed in time, a new class of models suitable for including the temporal component is proposed and applied to describe the time-varying complex covariance function of current data. The analysis concerns ocean current observations, taken hourly on 30 April 2016 through high frequency radar systems at some stations located in the Northeastern Caribbean Sea. The selected complex covariance model indexed in time is used for estimation purposes and its reliability is confirmed by a numerical analysis.

     

Variogram Matrix Functions for Vector Random Fields with Second-Order Increments

The variogram matrix function is an important measure for the dependence of a vector random field with second-order increments, and is a useful tool for linear predication or cokriging. This paper proposes an efficient approach to construct variogram matrix functions, based on three ingredients: a univariate variogram, a conditionally negative definite matrix, and a Bernstein function, and derives three classes of variogram matrix functions for vector elliptically contoured random fields. Moreover, various dependence structures among components can be derived through appropriate mixture procedures demonstrated in this paper. We also obtain covariance matrix functions for second-order vector random fields through the Schoenberg–Lévy kernels.     

Blending-Based Stochastic Simulator

This paper presents a new method of constructing random functions whose realizations can be evaluated efficiently. The basic idea is to blend, both stochastically and linearly, a limited set of independent initial realizations previously generated by any chosen simulation method. The blending stochastic coefficients are determined in such a way that the new random function so generated has the same mean and covariance functions as the random function used for generating the initial realizations.     

Generating large stochastic simulations—The matrix polynomial approximation method

An algorithm for producing a nonconditional simulation by multiplying the square root of the covariance matrix by a random vector is described. First, the square root of a matrix (or a function of a matrix in general) is defined. The square root of the matrix can be approximated by a minimax matrix polynomial. The block Toeplitz structure of the covariance matrix is used to minimize storage. Finally, multiplication of the block Toeplitz matrix by the random vector can be evaluated as a convolution using the fast Fourier transform. This results in an algorithm which is not only efficient in terms of storage and computation but also easy to implement.     

Kriging and Spatial Design Accelerated by Orders of Magnitude: Combining Low-Rank Covariance Approximations with FFT-Techniques

Computational power poses heavy limitations to the achievable problem size for Kriging. In separate research lines, Kriging algorithms based on FFT, the separability of certain covariance functions, and low-rank representations of covariance functions have been investigated, all three leading to drastic speedup factors. The current study combines these ideas, and so combines the individual speedup factors of all ideas. This way, we reduce the mathematics behind Kriging to a computational complexity of only $\mathcal{O}(dL^{*} \log L^{*})$ , where L ^? is the number of points along the longest edge of the involved lattice of estimation points, and d is the physical dimensionality of the lattice. For separable (factorized) covariance functions, the results are exact, and nonseparable covariance functions can be approximated well through sums of separable components. Only outputting the final estimate as an explicit map causes computational costs of $\mathcal{O}(n)$ , where n is the number of estimation points. In illustrative numerical test cases, we achieve speedup factors up to 10⁸ (eight orders of magnitude), and we can treat problem sizes of up to 15 trillion and two quadrillion estimation points for Kriging and spatial design, respectively, within seconds on a contemporary desktop computer. The current study assumes second-order stationarity and simple Kriging on a regular, equispaced lattice, without working with restricted neighborhoods. Extensions to many other cases are straightforward.     

The equivalence of predictions from universal kriging and intrinsic random-function kriging

A proof is provided that the predictions obtained from kriging based on intrinsic random functions of orderk are identical to those obtained from anappropriate universal kriging model. This is a theoretical result based on known variability measures. It does not imply that people performing traditional universal kriging will get the same predictions as those using intrinsic random functions, because traditionally these methods differ in how variability is modeled. For intrinsic random functions, the same proof shows that predictions do not depend on the specific choice of the generalized covariance function. It is argued that the choice between these methods is really one of modeling and estimating the variability in the data.     

Positive definiteness is not enough

Geostatisticians know that the mathematical functions chosen to represent spatial covariances and variograms must have the appropriate type of positive definiteness, but they may not realize that there are restrictions on the types of covariances and variograms that are compatible with particular distributions. This paper gives some examples showing that (1) the spherical model is not compatible with the multivariate lognormal distribution if the coefficient of variation is 2.0 or more (even in 1-D), and (2) the Gaussian covariance and several other models are not compatible with indicator random functions. As these examples concern quite different types of random functions, it is clear that there is a general problem of compatibility between spatial covariance models (or variograms) and a specified multivariate distribution. The problem arises with all distributions except the multivariate normal, and not just the two cited here. The need for a general theorem giving the necessary and sufficient conditions for a covariance or a variogram to be compatible with a particular distribution is stressed.     

Stable methods of interpretation of gravimetric data

A method for interpretation of potential geophysical fields, based on a stable inversion algorithm, is proposed. The stability of the algorithm is provided by an original choice of the zero approximation model and stepwise solution of the inverse problem by a correctness set. The three-dimensional density distribution of local structures as grid functions is reconstructed by layer-wise anomalies of a spilt field. Examples of interpretation of the practical gravimetric data illustrating the efficiency of the method are given.

     

Limiting stochastic operations for stationary spatial processes

A natural extrapolation of stochastic operations (continuity and differentiation) already described in time domain (one-dimensional case) is established for spatial processes (two- or three-dimensional case). If stationarity decision is assumed, the continuity and differentiability (in the mean square sense) of a spatial process depends on the continuity and differentiability of the correlation function at the origin. Spatial processes described by stationary random functions are not continuous (in the mean square sense) when the covariance function presents a nugget effect, and they are not differentiable when the same covariance function is described by a spherical or an exponential covariance (models which are often used in geostatistics).