riging Over Space and Time Based on a Latent Reduced Rank Structure-姚琦伟 (London School of Economics and Political Sciences)

主  题:Kriging Over Space and Time Based on a Latent Reduced Rank Structure

内容简介:We propose a new approach to extract nonparametrically covariance structure of a spatio-temporal process in terms of latent common factors. Though it is formally similar to the existing reduced rank approximation methods (Section 7.1.3 of Cressie and Wikle, 2011), the fundamental difference is that the low-dimensional structure is completely unknown in our setting, which is learned from the data collected irregularly over space but regularly in time. We do not impose any stationarity conditions over space either, as the learning is facilitated by the stationarity in time. Krigings over space and time are carried out based on the learned low-dimensional structure. Their performance is further improved by a newly proposed aggregation method via randomly partitioning the observations accordinly to their locations.  A low-dimensional correlation structure also makes the kriging methods scalable to the cases when the data are taken over a large number of locations and/or over a long time period.  Asymptotic properties of the proposed methods are established.  Illustration with both simulated and real data sets is also reported.
报告人:姚琦伟     教授    博导

                      中国“千人计划”专家

                      北京大学光华管理学院特聘教授

                      香港大学统计与精算学系名誉教授

                      英国皇家统计学会名誉会员

时  间:2016-07-29    09:30

地  点:竞慧西楼402

举办单位:理学院  统计与大数据科学研究院  科研部

责任编辑:科研部