Abstract:We construct a Gaussian random field (GRF) that combines fractional smoothness with spatially varying anisotropy. The GRF is defined through a stochastic partial differential equation (SPDE), where the range, marginal variance, and anisotropy vary spatially according to a spectral parametrization of the SPDE coefficients. Priors are constructed to reduce overfitting in this flexible covariance model, and we estimate parameters using a gradient-based optimization approach based on automatic differentiation. In a simulation study, we investigate how many observations are required to reliably estimate fractional smoothness and non-stationarity, and find that one realization containing 500 observations or more is needed in the scenario considered. We also find that the proposed penalization prevents overfitting across varying numbers of observation locations. Two case studies demonstrate that the relative importance of fractional smoothness and non-stationarity is application dependent. Non-stationarity improves predictions in an application to ocean salinity, whereas fractional smoothness improves predictions in an application to precipitation. Predictive ability is assessed using mean squared error and the continuous ranked probability score. In addition to prediction, the proposed approach can be used as a tool to explore the presence of fractional smoothness and non-stationarity.
From: Elling Svee [view email]
[v1]
Sun, 21 Dec 2025 15:15:30 UTC (3,322 KB)
[v2]
Wed, 24 Jun 2026 18:38:15 UTC (6,568 KB)
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