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Gaussian process learning via Fisher scoring of Vecchia’s approximation

Authors
  • Guinness, Joseph1
  • 1 Cornell University, Ithaca, USA , Ithaca (United States)
Type
Published Article
Journal
Statistics and Computing
Publisher
Springer US
Publication Date
Mar 03, 2021
Volume
31
Issue
3
Identifiers
DOI: 10.1007/s11222-021-09999-1
Source
Springer Nature
Keywords
License
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Abstract

We derive a single-pass algorithm for computing the gradient and Fisher information of Vecchia’s Gaussian process loglikelihood approximation, which provides a computationally efficient means for applying the Fisher scoring algorithm for maximizing the loglikelihood. The advantages of the optimization techniques are demonstrated in numerical examples and in an application to Argo ocean temperature data. The new methods find the maximum likelihood estimates much faster and more reliably than an optimization method that uses only function evaluations, especially when the covariance function has many parameters. This allows practitioners to fit nonstationary models to large spatial and spatial–temporal datasets.

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