Covariance Tapering for Likelihood-Based Estimation in Large Spatial Data Sets

• 成果类型: Article
• 署名作者: Kaufman, Cari G.; Schervish, Mark J.; Nychka, Douglas W.
• 署名单位: University of California System; University of California Berkeley; Carnegie Mellon University; National Center Atmospheric Research (NCAR) - USA
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1198/016214508000000959
• 发表日期: 2008
• 页码: 1545-1555
• 关键词: Interpolation; matrices; models

摘要

Maximum likelihood is an attractive method of estimating covariance parameters in spatial models based oil Gaussian processes. But calculating, the likelihood can he computationally infeasible for large data sets, requiring O(m(3)) calculations for a data set with a observations. This article proposes the method of covariance tapering to approximate the likelihood in this setting. In this approach. covariance matrixes are tapered. or multiplied element wise by a sparse correlation matrix. The resulting matrixes can their be manipulated using efficient sparse matrix algorithms. We propose two approximations to the Gaussian likelihood using tapering. One of the approximations simply replaces the model covariance with a tapered version, whereas the other is motivated by the theory of unbiased estimating equations. Focusing on the particular case of the Matern class of covariance functions, we give conditions under which estimators maximizing the tapering approximations are. like the maximum likelihood estimator, Strongly consistent. Moreover, we show in a simulation study that the tapering estimators can have sampling densities quite similar to that of the maximum likelihood estimator even when the degree of tapering is severe. We illustrate the accuracy and computational gains of the tapering methods in an analysis of yearly total precipitation anomalies at weather stations in the United States.