Numerical instability of calculating inverse of spatial covariance matrices

DOI10.1016/j.spl.2017.05.019zbMath1380.65063OpenAlexW2622589392MaRDI QIDQ1687210

Chae Young Lim, Wei-Ying Wu, Chien-Hung Chen

Publication date: 22 December 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.05.019

zbMATH Keywords

MLEill-conditionedMatérn covariance models

Mathematics Subject Classification ID

Random fields; image analysis (62M40) Numerical computation of matrix norms, conditioning, scaling (65F35) Direct numerical methods for linear systems and matrix inversion (65F05)

Related Items (1)

Asymptotic near-efficiency of the ``Gibbs-energy (GE) and empirical-variance estimating functions for fitting Matérn models. - II: accounting for measurement errors via ``Conditional GE mean

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Covariance matrix estimation for stationary time series
• Interpolation of spatial data. Some theory for kriging
• On the extreme eigenvalues of Hermitian (block) Toeplitz matrices
• The effect of the nugget on Gaussian process emulators of computer models
• A Matrix-free Approach for Solving the Parametric Gaussian Process Maximum Likelihood Problem
• On the Use of Discrete Laplace Operator for Preconditioning Kernel Matrices
• The role of the range parameter for estimation and prediction in geostatistics
• Covariance Tapering for Likelihood-Based Estimation in Large Spatial Data Sets
• Inconsistent Estimation and Asymptotically Equal Interpolations in Model-Based Geostatistics
• Condition-Number-Regularized Covariance Estimation

This page was built for publication: Numerical instability of calculating inverse of spatial covariance matrices