The SPDE Approach to Mat\'ern Fields: Graph Representations

DOI10.1214/21-STS838MaRDI QIDQ6338868arXivFDO

Authors Daniel Sanz-Alonso, Ruiyi Yang

Publication date 16 April 2020

Published in arXiv

Full work available at URL https://doi.org/10.1214/21-STS838

Mathematics Subject Classification ID

Statistics (62-XX)

arXiv classification

cs.NA math.NA stat.CO stat.ME

Abstract: This paper investigates Gaussian Markov random field approximations to nonstationary Gaussian fields using graph representations of stochastic partial differential equations. We establish approximation error guarantees building on the theory of spectral convergence of graph Laplacians. The proposed graph representations provide a generalization of the Mat'ern model to unstructured point clouds, and facilitate inference and sampling using linear algebra methods for sparse matrices. In addition, they bridge and unify several models in Bayesian inverse problems, spatial statistics and graph-based machine learning. We demonstrate through examples in these three disciplines that the unity revealed by graph representations facilitates the exchange of ideas across them.

Cited in

(1)

Mass Lumping and Numerical Quadrature for Approximation of Fractional Elliptic Differential Equations Driven by Gaussian White Noise

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