Score matching filters for Gaussian Markov random fields with a linear model of the precision matrix

DOI10.3934/FODS.2021030MaRDI QIDQ2072672zbMATH OpenOpenAlexFDO

Authors Marie Turčičová, Jan Mandel, Kryštof Eben

Publication date 26 January 2022

Published in Foundations of Data Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/fods.2021030

zbMATH Keywords

covariance modellingensemble filterGaussian Markov random fieldscore matching

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Random fields; image analysis (62M40) Applications of statistics to environmental and related topics (62P12)

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Cites work

• An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach
• Asymptotically efficient estimation of covariance matrices with linear structure
• Data Assimilation
• Deterministic mean-field ensemble Kalman filtering
• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
• Estimation of non-normalized statistical models by score matching
• Gaussian Markov Random Fields
• scientific article; zbMATH DE number 3567740 (Why is no real title available?)
• scientific article; zbMATH DE number 3602484 (Why is no real title available?)
• Large sample asymptotics for the ensemble Kalman filter
• Linear estimating equations for exponential families with application to Gaussian linear concentration models
• Matrix algebra. Theory, computations and applications in statistics
• On the convergence of the ensemble Kalman filter.
• Some extensions of score matching
• Testing Statistical Hypotheses
• Unbiased ensemble square root filters
• Understanding the Ensemble Kalman Filter

Cited in

(1)

• Scoring matching approach: Learning high order Markov random fields

Describes a project that uses

Uses Software

• GMRFLib

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