Local inversion-free estimation of spatial Gaussian processes
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Abstract: Maximizing the likelihood has been widely used for estimating the unknown covariance parameters of spatial Gaussian processes. However, evaluating and optimizing the likelihood function can be computationally intractable, particularly for large number of (possibly) irregularly spaced observations, due to the need to handle the inverse of ill-conditioned and large covariance matrices. Extending the "inversion-free" method of Anitescu, Chen and Stein cite{anitescu2017inversion}, we investigate a broad class of covariance parameter estimators based on inversion-free surrogate losses and block diagonal approximation schemes of the covariance structure. This class of estimators yields a spectrum for negotiating the trade-off between statistical accuracy and computational cost. We present fixed-domain asymptotic properties of our proposed method, establishing -consistency and asymptotic normality results for isotropic Matern Gaussian processes observed on a multi-dimensional and irregular lattice. Simulation studies are also presented for assessing the scalability and statistical efficiency of the proposed algorithm for large data sets.
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Cited in
(9)- Asymptotic behavior of the likelihood function of covariance matrices of spatial Gaussian processes
- Local solutions to inverse problems in geodesy. The impact of the noise covariance structure upon the accuracy of estimation
- On the consistency of inversion-free parameter estimation for Gaussian random fields
- On fixed-domain asymptotics, parameter estimation and isotropic Gaussian random fields with Matérn covariance functions
- Scalable Physics-Based Maximum Likelihood Estimation Using Hierarchical Matrices
- Fast spatial Gaussian process maximum likelihood estimation via skeletonization factorizations
- Asymptotic analysis of the role of spatial sampling for covariance parameter estimation of Gaussian processes
- Estimating the parameters of some common Gaussian random fields with nugget under fixed-domain asymptotics
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