Telescoping Recursive Representations and Estimation of Gauss–Markov Random Fields

DOI10.1109/TIT.2011.2104612MaRDI QIDQ5281044zbMATH OpenFDO

Authors Divyanshu Vats, José M. F. Moura

Publication date 27 July 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0907.5397

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Random fields; image analysis (62M40) Random fields (60G60) Inference from stochastic processes and prediction (62M20)

Abstract: We present emph{telescoping} recursive representations for both continuous and discrete indexed noncausal Gauss-Markov random fields. Our recursions start at the boundary (a hypersurface in $R^d$, $dge1$) and telescope inwards. For example, for images, the telescoping representation reduce recursions from $d=2$ to $d=1$, i.e., to recursions on a single dimension. Under appropriate conditions, the recursions for the random field are linear stochastic differential/difference equations driven by white noise, for which we derive recursive estimation algorithms, that extend standard algorithms, like the Kalman-Bucy filter and the Rauch-Tung-Striebel smoother, to noncausal Markov random fields.

Cited in

(3)

• Optimal smoothing for spherical Gauss-Markov random fields with application to weather data estimation
• Gaussian conditionally Markov sequences: modeling and characterization
• Fast generation of isotropic Gaussian random fields on the sphere

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