Kleiber, William; Nychka, Douglas - In: Journal of Multivariate Analysis 112 (2012) C, pp. 76-91
We derive a class of matrix valued covariance functions where the direct and cross-covariance functions are Matérn. The parameters of the Matérn class are allowed to vary with location, yielding local variances, local ranges, local geometric anisotropies and local smoothnesses. We discuss...