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The Rational SPDE A...
The Rational SPDE Approach for Gaussian Random Fields With General Smoothness
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- Bolin, David, 1983 (author)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper,Department of Mathematical Sciences,University of Gothenburg,Chalmers tekniska högskola,Chalmers University of Technology
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- Kirchner, Kristin, 1987 (author)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper,Department of Mathematical Sciences,University of Gothenburg,Chalmers tekniska högskola,Chalmers University of Technology
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(creator_code:org_t)
- 2019-10-30
- 2020
- English.
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In: Journal of Computational and Graphical Statistics. - : Informa UK Limited. - 1061-8600 .- 1537-2715. ; 29:2, s. 274-85
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Abstract
Subject headings
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- A popular approach for modeling and inference in spatial statistics is to represent Gaussian random fields as solutions to stochastic partial differential equations (SPDEs) of the form , where is Gaussian white noise, L is a second-order differential operator, and is a parameter that determines the smoothness of u. However, this approach has been limited to the case , which excludes several important models and makes it necessary to keep beta fixed during inference. We propose a new method, the rational SPDE approach, which in spatial dimension is applicable for any , and thus remedies the mentioned limitation. The presented scheme combines a finite element discretization with a rational approximation of the function to approximate u. For the resulting approximation, an explicit rate of convergence to u in mean-square sense is derived. Furthermore, we show that our method has the same computational benefits as in the restricted case . Several numerical experiments and a statistical application are used to illustrate the accuracy of the method, and to show that it facilitates likelihood-based inference for all model parameters including beta. for this article are available online.
Subject headings
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)
Keyword
- Fractional operators
- Matern covariances
- Nonstationary Gaussian fields
- Spatial statistics
- Stochastic partial differential equations
- markov random-fields
- models
- approximations
- Mathematics
- Stochastic partial differential equations
Publication and Content Type
- ref (subject category)
- art (subject category)
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