Multivariate Modeling of Some Datasets in Continuous Space and Discrete Time

Multivariate space–time datasets are often collected at discrete, regularly monitored time intervals and are typically treated as components of time series in environmental science and other applied fields. To effectively characterize such data in geostatistical frameworks, valid and practical covariance models are essential. In this work, we propose several classes of multivariate spatio-temporal covariance matrix functions to model underlying stochastic processes whose discrete temporal margins correspond to well-known autoregressive and moving average (ARMA) models. We derive sufficient and/or necessary conditions under which these functions yield valid covariance matrices. By leveraging established methodologies from time series analysis and spatial statistics, the proposed models are straightforward to identify and fit in practice. Finally, we demonstrate the utility of these multivariate covariance functions through an application to Kansas weather data, using co-kriging for prediction and comparing the results to those obtained from traditional spatio-temporal models.