Stochastic Environmental Resea (2004) 18: 91 99 DOI 10.

1007/s00477-003-0131-y

Springer-Verlag 2004

ORIGINAL PAPER

J. A. Vargas-Guzman

Fast modeling of cross-covariances in the LMC: A tool for data integration

Abstract Although modeling of cross-covariances by tting the linear model of coregionalization (LMC) is considered a cumbersome task, cross-covariances are the key for integration of data for multiple attributes in environmental hydrology, aquifer and reservoir characterizations using multivariate geostatistics. This paper proposes a novel method of modeling cross-covariances in the linear model of coregionalization (LMC). The classic minimum/maximum autocorrelation factors (MAF) method is analyzed and found to be a good tool to discriminate the elementary nested structures of directional sample covariance matrices. Thus, separate modeling of the scalar sample covariance for each MAF factor may allow to obtain the complete LMC model for the original attributes after a back rotation of the diagonal model covariance matrix of directional factors. However, such a back rotation is not computable following the classic MAF formulation. This paper introduces an ambirotational minimum/maximum autocorrelation factors (AMAF) method that allows a back and forth double rotation of the directional diagonal model covariance matrix for factors. This approach provides a device for modeling of the full matrix of directional covariance and cross-covariance for the original attributes in the LMC without recurring to iterations. In this way, the use of multivariate geostatistics for data integration is allowed avoiding collocated approaches or rotation and modeling of data factor scores. The method is illustrated with an example for covariances for three attributes. Keywords Cross-covariance modeling Coregionalization Multivariate geostatistics Autocorrelation factors Aquifer and reservoir characterization

1 Introduction
In earth sciences, hydrology and environmental sciences, inference of conditional means for simulation of an attribute is usually made using estimators that are linear combinations of the multivariate spatially distributed data for the attribute of interest and other cross-correlated attributes. The best linear unbiased estimator BLUE for spatial multiple attributes is cokriging. For an introduction to cokriging see Myers (1982), Kitanidis (1997), Chiles and Delner (1999). The author has developed a theory for sequential minimization of estimation variance that leads to a very practical solution for cokriging that avoids handling large matrices (Var gas-Guzman and Yeh, 1999). Cokriging is useful for integration of data in oil reservoir characterizations (e.g., Xu et al., 1992) and in most earth science areas. Yates and Warrick (1987) applied cokriging to estimate soil water content. Making use of responses of the aquifer to characterize the spatial distribution of the aquifer permeability is an important application of cokriging. A related approach is factorial cokriging (Wackernagel, 1995). Numerous researchers have developed cokriging-based approaches to solve the inverse problem in hydrology (e.g., Hoeksema and Kitanidis, 1984; Harvey and Gorelick, 1995; Harter and Yeh, 1996; Dietrich and Newsam, 1989; Yeh, Gutjahr, and Jin 1995; Dagan, 1985; Guthar and Wilson, 1989; Li and Yeh, 1999; Zhang and Yeh, 1997; and others). Joint simulation of various attributes that have practical utility for hydrology, soil, and environmental sciences include cosimulations (Verly, 1993; GomezHernandez and Journel, 1993), successive simulation by residuals (Vargas-Guzman and Dimitrakopoulos, 2002), spectral simulation methods (Gutjahr et al., 1997), and simulation of conditional components (Vargas-Guzman, 2003). Simulations are the key approach for modeling of discrete facies and continuous properties in geology modeling, and aquifer and reservoir characterization.

J. A. Vargas-Guzman PO Box 685 Dhahran, Saudi Arabia E-mail: anton_varguz@hotmail.com

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However, joint simulations are usually simplied using collocated cokriging. A major diculty for practical application of cokriging and related simulation approaches mentioned above is the need for modeling the matrix Ch of multivariate covariance and cross-covariance with a linear model of coregionalizations LMC (e.g., Journel and Huijbregts, 1978). In order to introduce the LMC one needs to consider that several attributes can be modeled with a stationary and ergodic vector random eld Zx, which has a multivariate covariance matrix. This is m X Ch Bu cu h 1
u1

where Bu are positive denite coregionalization matrices of constants and cu h are elementary covariance functions of the directional separation distance h between random variables. Eorts to develop modeling approaches of the matrix Ch with the LMC are well known. Bourgault and Marcotte (1991) introduced the multivariable covariance, which is a linear combination of the individual covariances and cross-covariances of the original attributes, and it is supposed to simultaneously exhibit prominent nested structures. Goulard (1989) and Goulard and Voltz (1992) developed an iterative approach for tting coregionalization matrices that include a correction for positive deniteness based on separate diagonalization of each lag distance. Their method is to iteratively generate valid coregionalization matrices by setting the appearing negative eigenvalues to zero. A drawback of this approach is that it needs the previous knowledge of the elementary nested structures cu h, which are chosen almost arbitrarily because there are no objective methods to dene the number and shape of the elementary structures yet. Numerical modeling of cross-covariances has been proposed using fast Fourier transform (Yao and Journel, 1998). Moreover, the general problem of computing the model elementary structures cu h from sample covariances for LMC remains unsolved. One way to avoid the use of cokriging and cross-covariances is by attempting the spatial orthogonalization of data in order to obtain spatially independent factor scores, which can be separately kriged or simulated and then back correlated. A simple approach is principal component analysis (PCA), its limitation to the simplest case Ch Bch called intrinsic coregionalization is well known (e.g., Davis and Greenes, 1983; Goovaerts,1993; Wackernagel, 1995). A more promising orthogonalization approach is minimum/maximum autocorrelation factors (MAF) (Switzer and Green, 1984; Berman,1985; Wackernagel, 1995). MAF allows simultaneous orthogonalization for the case of two nested structures for all values of h in the LMC for the omnidirectional Ch B1 c1 h B2 c2 h. Geostatistics is applied to independent scores and values are back rotated to reconstruct the original attributes (Desbarats

and Dimitrakopoulos, 2000). MAF requires the data to be complete, no missing values are allowed, and the data matrix must have data for all columns and rows. Therefore, a substitution of cokriging by kriging of MAF factors is not applicable for the solution of the inverse problem in hydrology where head response data may be more abundant than the model parameters. The issues associated with the rotation of data, lack of symmetry of MAF factor histograms and deviations in the back-rotated estimates are observed in practice. However, I postulate that MAF could be modied to facilitate modeling of multivariate covariance matrix, resorting in this way to the use of cokriging. The objective of this paper is to develop a novel and computationally simple method for automatic modeling of the o diagonal terms in the LMC. The method is a new ambi-rotational version of min/max autocorrelation factors (MAF). The sample directional covariance matrix for original attributes is orthogonalized yielding discriminated independent structures in the MAF space, which are individually modeled. Since the classic formulation of MAF does not allow a back rotation of diagonal covariance model matrix, this paper derives ambi-rotational version AMAF in such a way that the back rotation of directional covariance model matrix may be enabled. Simultaneously, the method detects the elementary covariance structures and allows the automatic modeling of cross-covariances in the LMC. The ambi-rotational AMAF accounts for anisotropy and facilitates the use of multivariate geostatistics for data integration.

2 A practical review of the classic MAF method

The classic formulation of MAF is for ltering and based on an exhaustive information case, as that may be usual in image processing and remote sensing (Switzer and Green, 1984). However, under uncertainty the random eld framework with incomplete data sets force to make estimations. To introduce MAF in the stochastic framework, using geostatistics, MAF is applied to Gaussian vector random elds. Desbarats and Dimitrakopoulos (2000) report that MAF is a powerful tool for the analysis and simulation of coregionalized attributes. They practically demonstrate a method for using MAF to rotate data, produce conditional simulation of independent factors, and back rotate the generated realizations. In an example, they consider fteen attributes for characterization of pore size distribution in soils. Instead of dealing with a cumbersome multivariate matrix of covariance that may include one hundred and ve cross-covariance functions, assuming a symmetric case, they reduce the problem to the simulation of fteen independent MAF factors. These simplication of the problem is very attractive, and orthogonalization of data appears to work well in this case.

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The basic theory of MAF is elsewhere and is not going to be repeated here, see Switzer and Green (1984), Berman (1985), Wackernagel (1995), and Desbarats and Dimitrakopoulos (2000). The practical computational implementation of classic MAF may be summarized in the following steps: ^ (i) A sample covariance matrix B for p attributes is computed as ^ B Zxa T Zxa 2

(vii) It is easy to prove that the eigen vectors for the symmetric matrices above are independent of the values of h. A set of eigenvectors is computed for each h from the sample covariance matrices ^ following spectral decomposition Q2 CY D the ^ CT D =2 QT for D h 6 0. Eigen vectors 2 Y are computed for several D lag distances and averaged. (viii) PCA standardized factor scores are then rotated to give MAF scores as Wxa Yxa Q2 6

(ii)

where Zx is a matrix of multivariate data containing n columns for attributes and m rows for collocated data. Isotopy is the only allowed case, and the data matrix does not include missing values. Eigen vectors Q1 and eigen values K are computed ^ from the matrix B following the spectral decomposition as ^ K Q1 BQT 3 1 The eigen values K is the corresponding covariance matrix for the factor scores. A matrix of loadings is computed as A Q1 K2
1

(iii)

(iv)

Standardized factor scores are computed by rotation of data as Yxa Zxa A 5

(v)

(vi)

Note that up to here, no spatial considerations have been taken into account, and they may not be necessary if the random eld responds to an intrinsic coregionalization model. The standardized PCA factor scores have a diagonal matrix of covariance for zero lag distance. However, they have a square matrix full of crosscovariance terms for h 6 0. Then, sample omni^ directional cross-covariance matrices CY h for PCA factors Yx for lag distances h 6 0 are computed within an arbitrary interval of lag distances that covers the spatial correlation area. The limits are: Di h Df where h takes discrete values and Df > Di and h 6 0. These matrices of multivariate covariance are asymmetric. Also note the use of an omnidirectional covariance matrix is to get a unique result, which by no means will be unique if directional covariances were used. A symmetric matrix is computed as the average ^ ^ CY h CT h =2 of two asymmetric covariance Y matrices. This step is critical and at rst may appear evident as a loss of information, however there is no other alternative if one wants to get an orthogonalization. This step is responsible for impeding the back rotation of covariances with classic MAF.

The above formulation gives a spatial orthogonalization of data with a forward rotation. The back rotation of data is straight forward using the same equations. Even though one may expect the approach should work for Gaussian conditional simulations, a sound back rotation of estimated values (i.e., expected values) remains without formulation. In cases where the data histogram has small assymetry, one may expect that the application of back rotation to factor score estimates values may lead to deviations. If directional covariance matrices are utilized, the delta lag covariance matrix for PCA factor scores for h 6 0 in step (v) are dierent for dierent directional covariances, and the matrix of factor scores Wxa Yxa Q2 may not be unique. Since using the omnidirectional covariance is imposed to get a unique result, the factor scores may be orthogonal in the omnidirectional sense but they may be still cross-correlated for directional structures. The computation of MAF is usually based on omnidirectional covariance matrices, anisotropy is not incorporated in the MAF rotation. However, each factor may be modeled following its own anisotropy. A study of MAF computational properties suggests that in a simple case of proportional coregionalization matrices, the anisotropy is implicitly handled (Vargas-Guzman and Dimitrakopoulos, 2003). The same study has shown that the eect of the physical size of samples or support vanishes for cases where the LMC could be modeled with just two nested structures. An additional diculty of using the above approach is that the data set must be complete, which requires that all attributes should be measured at each sample location. Thus, the case of heterotopy may not be handled unless missing data is estimated or simulated. This is the major limitation when using iterative solutions of the inverse problem in hydrology. The advantage of MAF when computing data factor scores is that it avoids the need for solution of large cokriging systems and the modeling of crosscovariances and use of the LMC. However, it incorporates limitations as mentioned above. Next a new theory is devised that is based on rotation of covariance matrices providing a method for the LMC and classic cokriging.

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3 Theory
3.1 MAF orthogonalization of covariances in the vector space Consider the vector random eld Zx Z1 xZ2 x Zn x for n attributes using the Fourier Stieltjes representation in the frequency domain. Each attribute dZi xmay be considered as a vector having as many components as the innite set of realizations. The set of attributes S fdZ1 xdZ2 x dZn xg is a basis for a vector space V. Using the LMC, the vector random eld is the sum of q independent spatial components P dZx q dZu x where each spatial component is u1 u u u a vector dZu x dZ1 xdZ2 x dZn x and has components for all attributes. Proposition 1 The nite set of vectors U fdZu x ju 1; . . . ; qg is linearly dependent if there exist real numbers, not all zero, components of a vector g g1 ; . . . ; gq which is normal to the hyperplane H where H 2 V , so that a dot product g  dZu x 0. In this case, the vector spatial components are called coplanar. The components or attributes of the vector spatial component dZu x are all proportional to each other, and one may resort to the use of original attributes. The Zu x random vector has a zero lag distance covariance matrix Bu . Diagonalization of this matrix by PCA provides a new orthonormal basis where the components of the vector Zu x are orthogonal. Consider two standardized spatial components with norm jZu xj 1, u 1, and 2. If Z1 x  Z2 x 1, the cosine of the angle between them is one, meaning that both are statistically proportional (intrinsic coregionalization). In this case, the PCA will orthogonalize the two proportional covariance matrices B1 and B2 simultaneously. This transformation is linear and invertible because there 1 exists a matrix A1 , so that AA1 I where A QK2 T 1 2 and QBQ K. The general case is Z x Z x 6 1. However, two vectors can always be coplanar, meaning their sum Z1 x Z2 x is also coplanar. PCA factors for coplanar case have a multivariate covariance matrix for two nested structures as follows: CY h A1 B1 AT c1 h A1 BAT A1 B1 AT c2 h 7 1 1 1 where B B1 B2 and it can be written as CY h Vc1 h I Vc2 h 8 where the matrix CY h is usually asymmetric and has an odd and even component for any given h 6 0. V is an asymmetric matrix. This is a very important property of the PCA factors where the variances of each of the PCA nested components are complementary and the o-diagonal terms (cross-correlations) have opposite signs to provide the identity matrix CY 0. MAF uses the mechanism of making the covariance of PCA factors symmetric by averaging VA V VT =2.

Arraying the multivariate matrix of covariances for factors yields CY h VA c1 h c2 h Ic2 h 9 Deviations from orthogonality of the PCA factors are due to the dierence between nested structures c1 h c2 h multiplied by the o-diagonal terms of VA . Further diagonalization may be written as follows Q1 CY hQT Q1 VA QT c1 h Q1 I VA QT c2 h 1 1 1 10 where Q1 VA QT K1 or conversely 1 T Q2 CY hQ2 Q2 VA QT c1 h Q2 I 2 where Q2 I VA QT 2 K2 : VA QT c2 h 2 11

Proposition 2 The simultaneous orthogonalization of VA and I VA is achievable because from Eq. (4) the diagonalization is not at all aected by the identity matrix. The o-diagonal terms in I VA and VA are cosines of angles and its supplements. They show opposite correlations. Thus, they are co-linear spatial component vectors. Orthogonalization of three nested components in the LMC appears that may be done by MAF only if the third component is proportional to the sum or proportional to the two coplanar nested components. A third coplanar component does not contribute more information to dene a plane, only two vectors are required to compute a normal vector g g1 ; . . . ; gq . Note that a third component may be non coplanar, the orthogonalization problem becomes non-linear and its solution handling multilinear algebra is beyond the purpose of this study. The covariances considered above can be directional, then there is a matrix of multivariate covariance for each direction in space, and one may develop one MAF for each direction. This allows handling geometric anisotropy. 3.2 Modeling of the LMC with AMAF 3.2.1 Detection of elementary covariance structures From the modeling point of view, classic PCA is a good computational tool to diagnose whether a single intrinsically correlated structure alone is sucient for modeling the covariance matrix of a particular vector random eld. In the equivalent form, MAF is a tool to automatically compute whether two nested components are sucient to model the covariance matrix representing the variability of the vector random eld. In the case of two nested components, the diagonal covariance matrix of MAF standardized factors is CW h

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D1 c1 h D2 c2 h. Note that in the case of two attributes, the sills of the MAF rst nested structure are ! D11 0 D1 , with D11 ) D12 . As is shown in the 0 D12 theory, the sills of the second nested components are ! D21 0 and exactly the complement D2 I D1 0 D22 consequently D21 ( D22 . A convergence to extreme values may be expected, that is if D11 ! 1 then D12 ! 0, D22 ! 1, and D21 ! 0. Maximum discrimination between the two nested structures of long c1 h and short c2 h autocorrelation range is achieved because of the orthogonality condition and the behavior of coregionalization matrices in MAF. From this, it is evident that computing MAF on numerical sample covariances may lead to a quasi- automatic identication of the shape of nested structures by selecting elementary models of covariances cu h based on the ranges and shapes of covariances for autocorrelated MAF factors. This is an interesting property that may be exploited to use sample covariances of MAF in modeling of the LMC with nested components. The elementary covariances cu h are invariant upon rotation of the coregionalization matrices but they appear clearly dened in the two extreme miminum and maximum autocorrelation factors. In many cases, MAF is a good tool to nd a unique pair of elementary nested structures involved in the LMC. In such a case, modeling is done on sample covariances of MAF factors, the diagonal coregionalization matrices for MAF are back rotated to get the coregionalization matrices for the original attributes. The detection of structures can be done pairwise for pairs of attributes. This may show that in some cases, more than two nested structures are needed to t covariance models. The use of rotations in any case simplies the modeling process. This is explained in the next section.

for D h 6 0. The second rotation for each direction is made using average eigenvectors for several lag distances. This is h  i ^ ^T ^ " "T CW h Q2 CY h CY h =2 Q2 12 The proposed modeling of LMC is the modeling of diagonal matrix of covariances in Eq. (12) with analytical (or numerical) models CW h for each of the p MAF factors. Note the cross-covariances are zero, and the individual factor covariances may be modeled with nested structures. One could think that the automatic modeling of cross-variograms could be done with straightforward back rotations of the diagonal matrix CW h. Unfortunatelly, the loss of information due to the averaging of the asymmetric covariance matrix for standardized PCA in Eq. (12) impedes the reconstruction of the model of covariances for the original attributes with MAF back rotation. For this reason a new formulation of MAF is devised in the next section. 3.2.3 Ambi-rotational MAF (AMAF) for covariance matrices The covariance matrix for PCA factors follows from Eq. (3) and it can be written as CY 0 Q1 B1 QT K1 c1 h I Q1 B1 QT K1 c2 h 1 1 13 Notice CY 0 I is a diagonal identity matrix, and the factors are still correlated at lag distance h 6 0. The averaging to avoid asymmetry was already mentioned above and it may be written as   CY h CY hT CY h =2 14 Developing this equation gives   T " CY h Q1 ChQT K1 Q1 ChQT K1 =2 1 1

^T CY D=2QT 2

15

3.2.2 The problem of the covariance back rotation for LMC The forward MAF was devised to rotate data that also allow computation of sample covariances. However sample covariances computed from the original data may be diagonalized with forward MAF rotation avoiding the computation of factor score data. Directional sample (hat) covariance matrices are rst rotated ^ by the spectral decomposition K Q1 BQT and 1 1 A Q1 K2 . Instead of rotating data to compute PCA factor scores, the sample directional covariance matrices are rotated as ^ ^ CY h AChAT Using these directional covariance matrices from a rst rotation, perform the averaging and compute eigenvec ^ tors with the spectral decomposition Q2 CY D

Considering a symmetric C(h), and observing that the only source of asymmetry is the standardization caused by the diagonal matrix K1 . Then, one can avoid the transposes and write " 2CY h K1 Q1 ChQT Q1 ChQT K1 16
1 1

Proposition 3 Dene a matrix K 1T 1 where 1 T 1 1 1 . . . 1 is a row vector and make S K K1 A T symmetric matrix is calculated as M S S =2. It is straightforward to show that " CY h Q1 ChQT M 1 17 where the product represents in this case an element by element arithmetic product. Then the discriminant analysis proceeds as CW h Q2 Q1 ChQT MQT 1 2 18

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and this new modication introduced is termed as ambirotational min/max autocorrelation factors (AMAF) because it allows for both back and forth rotation of covariances. To see the orthogonality, the proof follows: CW h Q2 Q1 B1 QT c1 h Q1 BQT c2 h 1 1 Q1 B1 QT c2 h MQT 1 2 19 which gives a diagonal matrix of covariances for all lag distances CW h Q2 Q1 B1 QT QT M c1 h c2 h 1 2 20 T T Note the term M Q2 Q1 BQ1 M Q2 I is insensitive to the second rotation. The approach just formulated avoids dealing with asymmetric matrices and does not need the products by diagonal eigenvalue matrices that lead to asymmetry. One may see that this approach allows forward and backward rotation of covariances. In this way, a new tool has been devised for automatic modeling of cross-covariances when a diagonal matrix such as CW h is modeled starting from sample covariances ^ CW h. Q1 BQT 1 3.2.4 Modeling of cross-covariances in the LMC by AMAF Based on the new AMAF formulation developed above, the automatic modeling of cross-covariances may be developed as follows: The original multivariate data for several attributes is used to compute sample covariances and sample crosscovariances for the desired directions of geometric anisotropy. These matrices of numbers, one for each lag distance h, are forward rotated using MAF or AMAF as described before to obtain sample diagonal (or quasi diagonal) covariance matrices for directional factors ^ ^ CW h. Another alternative is to compute CW h from rotated scores by applying MAF on directional covariances matrices, but this leads to a set of factor score data for each direction which is not advisable. The rst alternative is consistent with the development of AMAF and using it may alleviate the problems associated with dealing with rotations of attributes having some asymmetry in their histograms. After the diagonal matrix of covariance function models in CW h are obtained by individual modeling of the covariance for each directional AMAF using two nested structures, the algorithm proceeds as follows: The diagonal matrix of covariance functions CW h is back rotated with the second matrix of eigenvectors. This is CY h QT CW hQ2 2 21 Q1 BQT Mc2 h 1

T A Tmatrix R is computed as R K K and L R R =2. Note that this matrix contains the inverted term by term elements of M. The complete matrix of covariances and cross-covariances for the attributes is Ch QT QT CW hQ2 L Q1 22 1 2

This is a back AMAF rotation that allows the constructions of directional covariance models when diagonal matrices of covariances have been modeled for AMAF factor covariances. This provides a powerful modeling tool that may be very useful when one has to deal with a large number of attributes. For example, if there are ve attributes, using AMAF one requires the modeling of only ve scalar covariance functions, and this eliminates the modeling of twenty ve original structures, which includes twenty cross-covariance functions. Due to symmetry, only ten of those crosscovariances will be dierent to each other. The back rotation with AMAF will provide all the terms in the LMC. As has been discussed earlier, MAF is theoretically sound, only up to two nested structures. However, if more nested structures are required for modeling the covariances, the approach may still provide adequate practical approximations. Following the well known Bochners theorem, the elementary structures used for modeling the AMAF factors must be positive denite models. The additional condition is to restrict the rotations using positive or zero eigen values. The author has provided detailed analysis of the multivariate Bochners theorem for valid LMC models and that is not going to be repeated here (Vargas-Guzman, et al., 2002).

4 A practical example
The AMAF algorithm introduced in this paper is applied to directional sample covariances for three attributes. The sample multivariate covariance matrix is rotated and the matrix of covariance functions for AMAF factors is diagonal, which should be spatially orthogonal. This allows to avoid the participation of cross-covariances in the modeling process. In the ideal case, the cross-covariances vanish to zero and the modeling is performed with a diagonal LMC of autocovariances for AMAF that may be back rotated to provide the LMC model for the original attributes. Figure 1 shows the symmetric downhole directional sample covariances (diagonal gures) and cross-covariances (o diagonal gures) computed for three standardized integrated simulated properties (e.g., porosity, intrinsic permeability, and resistivity). Simulated properties were chosen to assure an example that shows the exactness of the method. The zero lag distance covariance is:

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to get a symmetric matrix as explained in Eq. (14). Then, new spectral decomposition is carried on at twenty lag distances. The average eigen vector matrix is: 0 1 0:532319 0:709259 0:46157 Q2 @ 0:715304 0:668822 0:202525 A 0:452743 0:222775 0:863362 The covariances are rotated one more time to obtain the diagonal covariance matrix for MAF factors which is modeled in Fig. 2. The diagonal LMC resulting from interactive univariate modeling of the diagonal MAF sample covariances in Fig. 2 is 0
Fig. 1 Graphic representation of a sample symmetric multivariate matrix of covariance for three attributes (porosity, permeability, and resistivity)

0 0:35 0 0 0 0:65 0

B CW h B 0 @ 0 0

C 0 C Exph=50 A 0:06 0 1 C 0 C Exph=0:5 A 0:94

1 1 0:7 0:5 B @ 0:7 1 0:4 A 0:5 0:4 1 Following the classic computation, the spectral decomposition for zero lag distance covariance matrix gives a matrix of eigenvectors and eigenvalues as follows: 0 1 0:622574 0:593897 0:509596 Q1 @ 0:230659 0:482998 0:844695 A 0:747796 0:643428 0:163714 0 1 2:07702 0 0 A k1 @ 0 0:634746 0 0 0 0:288232 The matrix of covariance in Fig. 1 is rotated. The asymmetric covariance matrices obtained are averaged

B B0 @ 0

where (Exp) represent exponential covariances. Notice that the identication of the ranges of elementary structures (50 and 0.5) requires large graphical resolution. To back rotate this model to the space of the original attributes, AMAF is applied as described above. 0 1 1 1 1 A matrix K is introduced as K @ 1 1 1 A With the 1 1 1 matrices K and K, matrices R KT K and L T R R =2 are constructed. Then the back rotation is completed following Eq. (22) and the LMC for the original attributes is

Fig. 2 Diagonal sample MAF covariances (dots) and nested models tted

Fig. 3 Covariance matrix for original attributes with model from back rotation

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1 0:3 0:3 0:2 Ch @ 0:3 0:4 0:3 A Exph=50 0:2 0:3 0:8 0 1 0:7 0:4 0:3 @ 0:4 0:6 0:1 A Exph=0:5 0:3 0:1 0:2

A theoretical limitation of the approach is that it assumes that an LMC of up to two nested structures are included in the modeling process. Although research is needed for simultaneous diagonalization of more than two nested structures with MAF, most practical cases may give acceptable results with the AMAF developed. AMAF is useful for several application in hydrology, soil, environmental science, earth science, and others.

5 Discussion and conclusion

A novel ambi-rotational min/max autocorrelation factors (AMAF) method for automatic modeling of directional cross-covariances in the linear model of coregionalization (LMC) matrix has been developed in this paper. AMAF models automatically the cross-covariances and detects in a unique way the elementary structures for LMC model. This new AMAF method is based on a formulation for diagonalization of sample covariance matrices, modeling, and back rotation of diagonal covariance models. The covariances for factors are modeled separately as in the simple case of scalar random elds. The cross-covariances between original attributes are automatically obtained by a back rotation approach that reconstructs the information lost during the averaging of PCA asymmetric covariance matrices. Contrariously to the classic MAF which does not allow the back rotation of covariance models, the AMAF method is ambi-rotational. The number of sample covariance gures that need to be modeled are no more than the number of attributes. This may imply a considerable saving on computational time since modeling does not need to be done on the sample cross-covariances which are obtained automatically. Iterations are not required and computations are simple. The AMAF approach can be applied to any number of attributes and directions. To account for anisotropy, the method has the advantage that each directional multivariate covariance matrix can be modeled separately without the need for the rotation of data values or computation of factor scores. The use of this method allows to handle anisotropy, non-collocated data, and data at dierent support. The extension of the method to intrinsic stationarity and modeling of the variogram is straight forward because the rotation is driven by the coregionalization matrices. As a result, AMAF provides a valid positive denite multivariate covariance model with a LMC expression. AMAF and LMC facilitate the full use of multivariate geostatistics such as cokriging and cosimulations for data integration. It is well known that the back rotation of factor score kriging estimates or simulated values of non-symmetric distributions may not follow the same back rotation of MAF data scores. The use of modeling of cross-covariances as introduced in this paper avoids completely the need for estimates or simulations made on factor scores.

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