Exploiting low-rank covariance structures for computing high-dimensional normal and Student-t probabilities
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Publication:2029072
DOI10.1007/S11222-020-09978-YzbMATH Open1461.62014arXiv2003.11183OpenAlexW3120490467MaRDI QIDQ2029072FDOQ2029072
Authors: Jian Cao, Marc G. Genton, D. E. Keyes, George M. Turkiyyah 
Publication date: 3 June 2021
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: We present a preconditioned Monte Carlo method for computing high-dimensional multivariate normal and Student- probabilities arising in spatial statistics. The approach combines a tile-low-rank representation of covariance matrices with a block-reordering scheme for efficient Quasi-Monte Carlo simulation. The tile-low-rank representation decomposes the high-dimensional problem into many diagonal-block-size problems and low-rank connections. The block-reordering scheme reorders between and within the diagonal blocks to reduce the impact of integration variables from right to left, thus improving the Monte Carlo convergence rate. Simulations up to dimension suggest that the new method can improve the run time by an order of magnitude compared with the non-reordered tile-low-rank Quasi-Monte Carlo method and two orders of magnitude compared with the dense Quasi-Monte Carlo method. Our method also forms a strong substitute for the approximate conditioning methods as a more robust estimation with error guarantees. An application study to wind stochastic generators is provided to illustrate that the new computational method makes the maximum likelihood estimation feasible for high-dimensional skew-normal random fields.
Full work available at URL: https://arxiv.org/abs/2003.11183
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Computational methods for problems pertaining to statistics (62-08) Inference from spatial processes (62M30) Monte Carlo methods (65C05)
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Cited In (5)
- An EM algorithm for estimating the parameters of the multivariate skew-normal distribution with censored responses
- Tractable Bayes of Skew-Elliptical Link Models for Correlated Binary Data
- Scalable Computation of Predictive Probabilities in Probit Models with Gaussian Process Priors
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- Bayesian Conjugacy in Probit, Tobit, Multinomial Probit and Extensions: A Review and New Results
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