Constructs the covariance matrix for the spatial random effects
following Eq. (7) in Russell et al. (2020). For p parameters and L sites,
Sigma = (I_L x A) sum_i (e_i e_i^T x Omega_i(rho)) (I_L x A)^T.
Usage
build_sigma(A, rho, D, p = 6)
Arguments
- A
Lower triangular matrix (p x p).
- rho
Vector of p range parameters.
- D
Distance matrix (L x L).
- p
Number of parameters (default 6).
Value
Covariance matrix of dimension (Lp x Lp).
Details
In our setting, p = 6 (3 NOAA + 3 ADCIRC GEV parameters).