A new class of stochastic field models is constructed using nested stochastic partial differential equations (SPDEs). The model class is computationally efficient, applicable to data on general smooth manifolds, and includes both the Gaussian Matérn fields and a wide family of fields with oscillating covariance functions. Nonstationary covariance models are obtained by spatially varying the parameters in the SPDEs, and the model parameters are estimated using direct numerical optimization, which is more efficient than standard Markov Chain Monte Carlo procedures. The model class is used to estimate daily ozone maps using a large data set of spatially irregular global total column ozone data.
Bolin, D., & Lindgren, F. (2011). Spatial models generated by nested stochastic partial differential equations, with an application to global ozone mapping. Annals of Applied Statistics, 5(1), 523-550. https://doi.org/10.1214/10-AOAS383