RandomFields: RMhyperbolic – R documentation

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RMhyperbolic

Generalized Hyperbolic Covariance Model

Description

RMhyperbolic is a stationary isotropic covariance model called “generalized hyperbolic”. The corresponding covariance function only depends on the distance r ≥ 0 between two points and is given by

C(r) = δ^(-ν) (K_ν(ν δ))^{-1} (δ^2+r^2)^{ν/2} K_ν(ξ(δ^2+r^2)^{1/2})

where K_ν denotes the modified Bessel function of second kind.

Usage

RMhyperbolic(nu, lambda, delta, var, scale, Aniso, proj)

Arguments

`nu, lambda, delta`	numerical values; should either satisfy δ ≥ 0, λ > 0 and ν > 0, or δ > 0, λ > 0 and ν = 0, or δ > 0, λ ≥ 0 and ν < 0.
`var,scale,Aniso,proj`	optional arguments; same meaning for any `RMmodel`. If not passed, the above covariance function remains unmodified.

Details

This class is over-parametrized, i.e. it can be reparametrized by replacing the three parameters λ, δ and scale by two other parameters. This means that the representation is not unique.

Each generalized hyperbolic covariance function is a normal scale mixture.

The model contains some other classes as special cases; for λ = 0 we get the Cauchy covariance function (see RMcauchy) with γ = -ν/2 and scale=δ; the choice δ = 0 yields a covariance model of type RMwhittle with smoothness parameter ν and scale parameter 1/λ.

Value

RMhyperbolic returns an object of class RMmodel.

Author(s)

Martin Schlather, schlather@math.uni-mannheim.de, https://www.wim.uni-mannheim.de/schlather/

References

Shkarofsky, I.P. (1968) Generalized turbulence space-correlation and wave-number spectrum-function pairs. Can. J. Phys. 46, 2133-2153.
Barndorff-Nielsen, O. (1978) Hyperbolic distributions and distributions on hyperbolae. Scand. J. Statist. 5, 151-157.
Gneiting, T. (1997). Normal scale mixtures and dual probability densities. J. Stat. Comput. Simul. 59, 375-384.

Examples

RFoptions(seed=0) ## *ANY* simulation will have the random seed 0; set
##                   RFoptions(seed=NA) to make them all random again

model <- RMhyperbolic(nu=1, lambda=2, delta=0.2)
x <- seq(0, 10, 0.02)
plot(model)
plot(RFsimulate(model, x=x))

RandomFields

Simulation and Analysis of Random Fields

v3.3.10

GPL (>= 3)

Authors

Martin Schlather [aut, cre], Alexander Malinowski [aut], Marco Oesting [aut], Daphne Boecker [aut], Kirstin Strokorb [aut], Sebastian Engelke [aut], Johannes Martini [aut], Felix Ballani [aut], Olga Moreva [aut], Jonas Auel[ctr], Peter Menck [ctr], Sebastian Gross [ctr], Ulrike Ober [ctb], Paulo Ribeiro [ctb], Brian D. Ripley [ctb], Richard Singleton [ctb], Ben Pfaff [ctb], R Core Team [ctb]

Initial release