Hierarchical sparse Cholesky decomposition with applications to high-dimensional spatio-temporal filtering

DOI10.1007/s11222-021-10077-9zbMath1481.62004arXiv2006.16901OpenAlexW3039502708MaRDI QIDQ2114043

Marcin Jurek, Matthias Katzfuss

Publication date: 14 March 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.16901

zbMATH Keywords

state-space modeldata assimilationhierarchical matrixincomplete Cholesky decompositionspatiotemporal statisticsVecchia approximation

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Computational methods for problems pertaining to statistics (62-08)

Related Items (1)

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Uses Software

• EnKF
• spBayes
• George
• GPvecchia

Cites Work

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