Identification

Title

Covariance tapering for likelihood-based estimation in large spatial data sets

Abstract

Maximum likelihood is an attractive method of estimating covariance parameters in spatial models based on Gaussian processes. But calculating the likelihood can be computationally infeasible for large data sets, requiring O(n³) calculations for a data set with n 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 then be manipulated using efficient sparse matrix algorithms. We propose two approximations to the Gaussian likelihood using tapering. One of these 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 Matérn 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.

Resource type

document

Resource locator

Unique resource identifier

code

http://n2t.net/ark:/85065/d7pv6mxs

codeSpace

Dataset language

eng

Spatial reference system

code identifying the spatial reference system

Classification of spatial data and services

Topic category

geoscientificInformation

Keywords

Keyword set

keyword value

Text

originating controlled vocabulary

title

Resource Type

reference date

date type

publication

effective date

2016-01-01T00:00:00Z

Geographic location

West bounding longitude

East bounding longitude

North bounding latitude

South bounding latitude

Temporal reference

Temporal extent

Begin position

End position

Dataset reference date

date type

publication

effective date

2008-12-01T00:00:00Z

Frequency of update

Quality and validity

Lineage

Conformity

Data format

name of format

version of format

Constraints related to access and use

Constraint set

Use constraints

Limitations on public access

None

Responsible organisations

Responsible party

contact position

OpenSky Support

organisation name

UCAR/NCAR - Library

full postal address

PO Box 3000

Boulder

80307-3000

email address

opensky@ucar.edu

web address

http://opensky.ucar.edu/

name: homepage

responsible party role

pointOfContact

Metadata on metadata

Metadata point of contact