Telescoping Recursive Representations and Estimation of Gauss–Markov Random Fields

DOI10.1109/TIT.2011.2104612zbMATH Open1366.60080arXiv0907.5397MaRDI QIDQ5281044FDOQ5281044

Authors: Divyanshu Vats, José M. F. Moura 

Publication date: 27 July 2017

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

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.

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)

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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