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December 2011 2010 Rietz lecture: When does the screening effect hold?
Michael L. Stein
Ann. Statist. 39(6): 2795-2819 (December 2011). DOI: 10.1214/11-AOS909


When using optimal linear prediction to interpolate point observations of a mean square continuous stationary spatial process, one often finds that the interpolant mostly depends on those observations located nearest to the predictand. This phenomenon is called the screening effect. However, there are situations in which a screening effect does not hold in a reasonable asymptotic sense, and theoretical support for the screening effect is limited to some rather specialized settings for the observation locations. This paper explores conditions on the observation locations and the process model under which an asymptotic screening effect holds. A series of examples shows the difficulty in formulating a general result, especially for processes with different degrees of smoothness in different directions, which can naturally occur for spatial-temporal processes. These examples lead to a general conjecture and two special cases of this conjecture are proven. The key condition on the process is that its spectral density should change slowly at high frequencies. Models not satisfying this condition of slow high-frequency change should be used with caution.


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Michael L. Stein. "2010 Rietz lecture: When does the screening effect hold?." Ann. Statist. 39 (6) 2795 - 2819, December 2011.


Published: December 2011
First available in Project Euclid: 24 January 2012

zbMATH: 1246.60061
MathSciNet: MR3012392
Digital Object Identifier: 10.1214/11-AOS909

Primary: 60G25
Secondary: 62M15 , 62M30

Keywords: fixed-domain asymptotics , kriging , Space–time process , spectral analysis

Rights: Copyright © 2011 Institute of Mathematical Statistics

Vol.39 • No. 6 • December 2011
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