Geostatistics for large datasets on Riemannian manifolds: a matrix-free approach

Denis Allard, Nicolas Desassis, Mike Pereira

Publication date: 26 August 2022

Abstract: Large or very large spatial (and spatio-temporal) datasets have become common place in many environmental and climate studies. These data are often collected in non-Euclidean spaces (such as the planet Earth) and they often present non-stationary anisotropies. This paper proposes a generic approach to model Gaussian Random Fields (GRFs) on compact Riemannian manifolds that bridges the gap between existing works on non-stationary GRFs and random fields on manifolds. This approach can be applied to any smooth compact manifolds, and in particular to any compact surface. By defining a Riemannian metric that accounts for the preferential directions of correlation, our approach yields an interpretation of the local anisotropies as resulting from local deformations of the domain. We provide scalable algorithms for the estimation of the parameters and for optimal prediction by kriging and simulation able to tackle very large grids. Stationary and non-stationary illustrations are provided.

Has companion code repository: https://github.com/mike-pereira/matrix-free-mle

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