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

AMS Citation:
Kaufman, C. G., M. J. Schervish, and D. W. Nychka, 2008: Covariance tapering for likelihood-based estimation in large spatial data sets. Journal of the American Statistical Association, 103, 1545-1555, doi:10.1198/016214508000000959.
Resource Type:article
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.
Subject(s):Compactly supported correlation function, Covariance estimation, Estimating equation, Gaussian process
Peer Review:Refereed
Copyright Information:Copyright 2008 Authors. An edited version of this article was published by the American Statistical Association.
OpenSky citable URL: ark:/85065/d7pv6mxs
Publisher's Version: 10.1198/016214508000000959
  • Cari Kaufman
  • Mark Schervish
  • Douglas Nychka - NCAR/UCAR
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