Difference Filter Preconditioning for Large Covariance Matrices

DOI10.1137/110834469zbMath1251.65043OpenAlexW1987837329MaRDI QIDQ2903110

Jie Chen, Michael L. Stein, Mihai Anitescu

Publication date: 23 August 2012

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/1fc75b814210efe0305fa5354030718602a12fc9

zbMATH Keywords

condition numberiterative methodstochastic processrandom fieldcovariance matrixpreconditionerspectral analysisill-conditionedfixed-domain asymptotics

Mathematics Subject Classification ID

Random fields (60G60) Inference from stochastic processes and spectral analysis (62M15) Numerical computation of matrix norms, conditioning, scaling (65F35) Analysis of variance and covariance (ANOVA) (62J10) Prediction theory (aspects of stochastic processes) (60G25) Preconditioners for iterative methods (65F08)

Related Items (10)

Covariance tapering for multivariate Gaussian random fields estimation ⋮ Stochastic simulation of predictive space-time scenarios of wind speed using observations and physical model outputs ⋮ Linear-Cost Covariance Functions for Gaussian Random Fields ⋮ Prior-Preconditioned Conjugate Gradient Method for Accelerated Gibbs Sampling in “Large n , Large p ” Bayesian Sparse Regression ⋮ Fast Spatial Gaussian Process Maximum Likelihood Estimation via Skeletonization Factorizations ⋮ Stochastic approximation of score functions for Gaussian processes ⋮ Local inversion-free estimation of spatial Gaussian processes ⋮ On the consistency of inversion-free parameter estimation for Gaussian random fields ⋮ Hypothesis testing for the smoothness parameter of Matérn covariance model on a regular grid ⋮ Tucker tensor analysis of Matérn functions in spatial statistics

Uses Software

• GMRFLib

This page was built for publication: Difference Filter Preconditioning for Large Covariance Matrices