GPvecchia

swMATH41328CRANGPvecchiaMaRDI QIDQ1353875

Scalable Gaussian-Process Approximations

Marcin Jurek, Daniel Zilber, Matthias Katzfuss, Wenlong Gong

Last update: 8 February 2024

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.1.4, 0.1.6

Source code repository: https://github.com/cran/GPvecchia

Description

Fast scalable Gaussian process approximations, particularly well suited to spatial (aerial, remote-sensed) and environmental data, described in more detail in Katzfuss and Guinness (2017) <arXiv:1708.06302>. Package also contains a fast implementation of the incomplete Cholesky decomposition (IC0), based on Schaefer et al. (2019) <arXiv:1706.02205> and MaxMin ordering proposed in Guinness (2018) <arXiv:1609.05372>.

Cites work

• A general framework for Vecchia approximations of Gaussian processes
• Compression, inversion, and approximate PCA of dense kernel matrices at near-linear computational complexity
• Permutation and Grouping Methods for Sharpening Gaussian Process Approximations

Described by source

• A general framework for Vecchia approximations of Gaussian processes

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