A Generalized, Compactly-Supported Correlation Function for Data Assimilation Applications

Correlation functions play an essential role in modern data assimilation, where they are used to model covariances given a set of tunable parameters or applied as tapering functions to localize covariances in ensemble-based schemes. One of the most widely-used correlation functions in data assimilation is the Gaspari and Cohn (1999) piecewise-rational, compactly-supported parametric correlation function (hereafter referred to as GC99). The GC99 correlation function is useful due to its tunable cut-off parameter c and Gaussian-like shape achieved when the parameter a is set to one-half. These properties are attractive for tapering functions in data assimilation applications. However, the GC99 correlation function is homogeneous over Euclidean 3-space and isotropic when restricted to the sphere, properties that may be less than ideal for some geophysical applications. GC99 is also compactly-supported on a sphere of fixed radius, which requires tuning of the cut-off parameter c that can depend on the specific application.

This work presents a generalization of the GC99 correlation function that allows the cut-off parameter c and shape parameter a to vary over space to gain more flexibility in shape while maintaining its compact support property. The function, which we call the Generalized Gaspari Cohn (GenGC) correlation function, introduces inhomogeneity in Euclidean 3-space and anisotropy when restricted to the sphere by allowing both parameters c and a to vary, as functions, over the spatial domain. The GC99 correlation function is a special case of GenGC where the functions c and a are held constant, as fixed parameters rather than functions. The GenGC correlation function also generalizes the follow-on to the work of Gaspari and Cohn (1999) presented in Gaspari et al. (2006), which allowed a to vary while keeping c fixed. We illustrate through simple one- and two-dimensional examples the variety of inhomogeneous and anisotropic correlation functions GenGC can produce by varying c and a over space, and suggest applications where they may be useful in data assimilation, such as covariance modeling or localization.

In particular, we describe how the GenGC correlation function can be used to construct covariances using correlation length and variance fields derived from dynamics. For example, the correlation length field for advective dynamics is governed by a partial differential equation (PDE) in N spatial dimensions, where N is the number of space dimensions of the state.

Correlation length fields can be determined from this PDE and used with GenGC to construct the corresponding correlations. We can then approximate the full covariance by rescaling by the variance, which also satisfies a PDE in N spatial dimensions for advective dynamics. Thus we can approximate the full covariance without solving the covariance PDE, which is in 2N spatial dimensions, by solving just two PDEs each in only N spatial dimensions. This approach to evolving the correlation length and variance fields, then reconstructing the correlations using GenGC, is suggested as an alternative to current methods of covariance modeling in data assimilation algorithms.