Journal article
Circulant Embedding of Approximate Covariances for Inference From Gaussian Data on Large Lattices
Journal of Computational and Graphical Statistics, Vol.26(1), pp.88-97
01/02/2017
DOI: 10.1080/10618600.2016.1164534
Abstract
Recently proposed computationally efficient Markov chain Monte Carlo (MCMC) and Monte Carlo expectation-maximization (EM) methods for estimating covariance parameters from lattice data rely on successive imputations of values on an embedding lattice that is at least two times larger in each dimension. These methods can be considered exact in some sense, but we demonstrate that using such a large number of imputed values leads to slowly converging Markov chains and EM algorithms. We propose instead the use of a discrete spectral approximation to allow for the implementation of these methods on smaller embedding lattices. While our methods are approximate, our examples indicate that the error introduced by this approximation is small compared to the Monte Carlo errors present in long Markov chains or many iterations of Monte Carlo EM algorithms. Our results are demonstrated in simulation studies, as well as in numerical studies that explore both increasing domain and fixed domain asymptotics. We compare the exact methods to our approximate methods on a large satellite dataset, and show that the approximate methods are also faster to compute, especially when the aliased spectral density is modeled directly. Supplementary materials for this article are available online.
Details
- Title: Subtitle
- Circulant Embedding of Approximate Covariances for Inference From Gaussian Data on Large Lattices
- Creators
- Joseph Guinness - North Carolina State University, Department of StatisticsMontserrat Fuentes - North Carolina State University
- Resource Type
- Journal article
- Publication Details
- Journal of Computational and Graphical Statistics, Vol.26(1), pp.88-97
- Publisher
- Taylor & Francis
- DOI
- 10.1080/10618600.2016.1164534
- ISSN
- 1061-8600
- eISSN
- 1537-2715
- Language
- English
- Date published
- 01/02/2017
- Academic Unit
- Biostatistics; Provost Office Administration; Statistics and Actuarial Science
- Record Identifier
- 9983763482802771
Metrics
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