Gibbs sampler for computing and propagating large covariance matrices

DOI10.1007/S00190-003-0350-5MaRDI QIDQ704986zbMATH OpenOpenAlexFDO

Authors B. Gundlich, Karl-Rudolf Koch, Jürgen Kusche

Publication date 25 January 2005

Published in Journal of Geodesy (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00190-003-0350-5

zbMATH Keywords

Covariance matricesError propagationGibbs samplerGravity field modellingMonte Carlo

Mathematics Subject Classification ID

Geostatistics (86A32)

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(7)

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• Gibbs sampler by sampling-importance-resampling
• Factorization of separable and patterned covariance matrices for Gibbs sampling
• Parameter expansion for sampling a correlation matrix: an efficient GPX-RPMH algorithm
• Integration of the Monte Carlo covariance estimation strategy into tailored solution procedures for large-scale least squares problems
• Efficient GOCE satellite gravity field recovery based on least-squares using QR decomposition

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