A New Spatio-Temporal Model Exploiting Hamiltonian Equations

Abstract

The solutions of Hamiltonian equations are known to describe the underlying phase space of the mechanical system. In Bayesian Statistics, the only place, where the properties of solutions to the Hamiltonian equations are successfully applied, is Hamiltonian Monte Carlo. In this article, we propose a novel spatio-temporal model using a strategic modification of the Hamiltonian equations, incorporating appropriate stochasticity via Gaussian processes. The resultant sptaio-temporal process, continuously varying with time, turns out to be nonparametric, nonstationary, nonseparable and no-Gaussian. Besides, the lagged correlations tend to zero as the spatio-temporal lag tends to infinity. We investigate the theoretical properties of the new spatio-temporal process, along with its continuity and smoothness properties. Considering the Bayesian paradigm, we derive methods for complete Bayesian inference using MCMC techniques. Applications of our new model and methods to two simulation experiments and two real data sets revealed encouraging performance