GpGp

swMATH31760CRANGpGpMaRDI QIDQ43471FDOQ43471

Fast Gaussian Process Computation Using Vecchia's Approximation

Matthias Katzfuss, Joseph Guinness, Youssef Fahmy

Last update: 18 February 2024

Copyright license: MIT license, File License

Software version identifier: 0.4.0, 0.1.0, 0.1.1, 0.2.0, 0.2.1, 0.2.2, 0.3.0, 0.3.1, 0.3.2, 0.5.0

Source code repository: https://github.com/cran/GpGp

Description

Functions for fitting and doing predictions with Gaussian process models using Vecchia's (1988) approximation. Package also includes functions for reordering input locations, finding ordered nearest neighbors (with help from 'FNN' package), grouping operations, and conditional simulations. Covariance functions for spatial and spatial-temporal data on Euclidean domains and spheres are provided. The original approximation is due to Vecchia (1988) <http://www.jstor.org/stable/2345768>, and the reordering and grouping methods are from Guinness (2018) <doi:10.1080/00401706.2018.1437476>. Model fitting employs a Fisher scoring algorithm described in Guinness (2019) <arXiv:1905.08374>.

Cites work

• Permutation and Grouping Methods for Sharpening Gaussian Process Approximations
• Gaussian Process Learning via Fisher Scoring of Vecchia's Approximation

Cited In (7)

• VeccTMVN
• SeBR
• Scaled Vecchia Approximation for Fast Computer-Model Emulation
• deepgp
• Competition on spatial statistics for large datasets
• GeoModels
• GPvecchia

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