Constructing Priors that Penalize the Complexity of Gaussian Random Fields

Geir-Arne Fuglstad, Daniel Simpson, Finn Lindgren, Håvard Rue

Research output: Contribution to journalArticlepeer-review


Priors are important for achieving proper posteriors with physically meaningful covariance structures for Gaussian random fields (GRFs) since the likelihood typically only provides limited information about the covariance structure under in-fill asymptotics. We extend the recent Penalised Complexity prior framework and develop a principled joint prior for the range and the marginal variance of one-dimensional, two-dimensional and three-dimensional Matérn GRFs with fixed smoothness. The prior is weakly informative and penalises complexity by shrinking the range towards infinity and the marginal variance towards zero. We propose guidelines for selecting the hyperparameters, and a simulation study shows that the new prior provides a principled alternative to reference priors that can leverage prior knowledge to achieve shorter credible intervals while maintaining good coverage. We extend the prior to a non-stationary GRF parametrized through local ranges and marginal standard deviations, and introduce a scheme for selecting the hyperparameters based on the coverage of the parameters when fitting simulated stationary data. The approach is applied to a dataset of annual precipitation in southern Norway and the scheme for selecting the hyperparameters leads to concervative estimates of non-stationarity and improved predictive performance over the stationary model.
Original languageEnglish
Pages (from-to)445-452
Number of pages9
JournalJournal of the American Statistical Association
Issue number525
Early online date19 Jan 2018
Publication statusPublished - 2019

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