Positive definiteness is not enough |
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| Authors: | M Armstrong |
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| Institution: | (1) Centre de Géostatistique, Ecole Nationale Superieure des Mines de Paris, 35 Rue St. Honore, 77305 Fontainebleau, France |
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| Abstract: | 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. |
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| Keywords: | positive definiteness variogram lognormal indicator functions Bochner's theorem |
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