Difference filter preconditioning for large covariance matrices (Q2903110)
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scientific article; zbMATH DE number 6070717
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Difference filter preconditioning for large covariance matrices |
scientific article; zbMATH DE number 6070717 |
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23 August 2012
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condition number
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preconditioner
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stochastic process
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random field
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spectral analysis
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fixed-domain asymptotics
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covariance matrix
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ill-conditioned
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iterative method
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0.88285273
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0.8672552
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0.8537139
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0.8522026
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0.8502439
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0.8480971
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0.84793097
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0.84558475
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Difference filter preconditioning for large covariance matrices (English)
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In many statistical applications one must solve linear systems involving large, dense, and possibly irregularly structured covariance matrices. These matrices are often ill-conditioned. This paper discusses a preconditioning technique based on a differencing approach such that the preconditioned covariance matrix has a bounded condition number independent of the size of the matrix for some important process classes. It is shown that significant improvement is observed for solving these linear systems with an iterative method when used in large scale simulations of random processes.
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