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

DOI10.3934/fods.2021030zbMath1478.62282OpenAlexW3212283083MaRDI QIDQ2072672

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

score matchingGaussian Markov random fieldcovariance modellingensemble filter

Mathematics Subject Classification ID

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

Uses Software

• GMRFLib

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach
• On the convergence of the ensemble Kalman filter.
• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
• Unbiased ensemble square root filters
• Some extensions of score matching
• Asymptotically efficient estimation of covariance matrices with linear structure
• Linear estimating equations for exponential families with application to Gaussian linear concentration models
• Deterministic Mean-Field Ensemble Kalman Filtering
• Matrix Algebra
• Gaussian Markov Random Fields
• Data Assimilation
• Testing Statistical Hypotheses
• Understanding the Ensemble Kalman Filter

This page was built for publication: Score matching filters for Gaussian Markov random fields with a linear model of the precision matrix