On the condition number anomaly of Gaussian correlation matrices

DOI10.1016/j.laa.2014.10.038zbMath1303.15006OpenAlexW1979857262MaRDI QIDQ472459

J. Herrera, Sumit K. Garg

Publication date: 19 November 2014

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2014.10.038

zbMATH Keywords

Gaussian processcondition numberradial basis functionsnumerical experimentspatial linear modeldata assimilationcorrelation matrixKrigingEuclidean distance matrixdesign and analysis of computer experimentsinterpolation matrices

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Numerical computation of matrix norms, conditioning, scaling (65F35) Conditioning of matrices (15A12)

Related Items (5)

On the Instability Issue of Gradient-Enhanced Gaussian Process Emulators for Computer Experiments ⋮ Low-rank statistical finite elements for scalable model-data synthesis ⋮ Sliced Gradient-Enhanced Kriging for High-Dimensional Function Approximation ⋮ A non-intrusive solution to the ill-conditioning problem of the gradient-enhanced Gaussian covariance matrix for Gaussian processes ⋮ Assessing the estimation of nearly singular covariance matrices for modeling spatial variables

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