Numerical Methods of Karhunen–Loève Expansion for Spatial Data
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Juan Hu
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Hao Zhang
Abstract
With the development of technology, a large amount of spatial data are usually observed in many applications. These massive spatial data impose a challenge to the traditional spatial data analysis primarily because of the large covariance matrix. One way to overcome the computation burden is to utilize a low rank model. The optimal low rank model is provided by the Karhunen–Loève (KL) expansion of the spatial process. However, the inference and prediction of the spatial data require an efficient algorithm for the KL expansion. In this paper, we compare four algorithms that have been proposed to numerically obtain the KL expansion. It is found that the Gaussian quadrature method outperforms the others for spatial processes.
Funding source: National Science Foundation
Award Identifier / Grant number: US grant IIS-1028291
© 2015 by De Gruyter
Artikel in diesem Heft
- Frontmatter
- Failure Rate Estimation in a Dynamic Environment
- Bayesian Analysis of the Brown–Proschan Model
- Forecasting Stock Market Trends
- Life in Bridgetown, Barbados, According to the Westbury Cemetery Records 1877–1976
- Numerical Methods of Karhunen–Loève Expansion for Spatial Data
Artikel in diesem Heft
- Frontmatter
- Failure Rate Estimation in a Dynamic Environment
- Bayesian Analysis of the Brown–Proschan Model
- Forecasting Stock Market Trends
- Life in Bridgetown, Barbados, According to the Westbury Cemetery Records 1877–1976
- Numerical Methods of Karhunen–Loève Expansion for Spatial Data
