A unified view of space-time covariance functions through Gelfand pairs (2004.12842v2)

Abstract: We give a characterization of positive definite integrable functions on a product of two Gelfand pairs as an integral of positive definite functions on one of the Gelfand pairs with respect to the Plancherel measure on the dual of the other Gelfand pair. In the very special case where the Gelfand pairs are Euclidean groups and the compact subgroups are reduced to the identity, the characterization is a much cited result in spatio-temporal statistics due to Cressie, Huang and Gneiting. When one of the Gelfand pairs is compact the characterization leads to results about expansions in spherical functions with positive definite expansion functions, thereby recovering recent results of the author in collaboration with Peron and Porcu. In the special case when the compact Gelfand pair consists of orthogonal groups, the characterization is important in geostatistics and covers a recent result of Porcu and White.