Gaussian random fields: with and without covariances

DOI10.1090/TPMS/1163zbMATH Open1493.62555arXiv2111.11960OpenAlexW3215347239WikidataQ114093792 ScholiaQ114093792MaRDI QIDQ5080403FDOQ5080403

Authors: Tasmin L. Symons, N. H. Bingham 

Publication date: 31 May 2022

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Abstract: We begin with isotropic Gaussian random fields, and show how the Bochner-Godement theorem gives a natural way to describe their covariance structure. We continue with a study of Mat'ern processes on Euclidean space, spheres, manifolds and graphs, using Bessel potentials and stochastic partial differential equations (SPDEs). We then turn from this continuous setting to approximating discrete settings, Gaussian Markov random fields (GMRFs), and the computational advantages they bring in handling large data sets, by exploiting the sparseness properties of the relevant precision (concentration matrices).

Full work available at URL: https://arxiv.org/abs/2111.11960

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zbMATH Keywords

Gaussian random fieldcovariance functionprecision matrixBessel potentialstochastic partial differential equationsparsenessnumerical linear algebraGaussian Markov random fieldMatérn process

Mathematics Subject Classification ID

Random fields; image analysis (62M40)

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Cited In (12)

• An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach
• Analytic Properties and Covariance Functions for a New Class of Generalized Gibbs Random Fields
• A different construction of Gaussian fields from Markov chains: Dirichlet covariances.
• Linear-Cost Covariance Functions for Gaussian Random Fields
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Uses Software

• CSparse

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