The Annals of Applied Statistics

Stochastic approximation of score functions for Gaussian processes

Michael L. Stein, Jie Chen, and Mihai Anitescu

Full-text: Open access

Abstract

We discuss the statistical properties of a recently introduced unbiased stochastic approximation to the score equations for maximum likelihood calculation for Gaussian processes. Under certain conditions, including bounded condition number of the covariance matrix, the approach achieves $O(n)$ storage and nearly $O(n)$ computational effort per optimization step, where $n$ is the number of data sites. Here, we prove that if the condition number of the covariance matrix is bounded, then the approximate score equations are nearly optimal in a well-defined sense. Therefore, not only is the approximation efficient to compute, but it also has comparable statistical properties to the exact maximum likelihood estimates. We discuss a modification of the stochastic approximation in which design elements of the stochastic terms mimic patterns from a $2^{n}$ factorial design. We prove these designs are always at least as good as the unstructured design, and we demonstrate through simulation that they can produce a substantial improvement over random designs. Our findings are validated by numerical experiments on simulated data sets of up to 1 million observations. We apply the approach to fit a space–time model to over 80,000 observations of total column ozone contained in the latitude band $40^{\circ}\mathrm{-}50^{\circ}\mathrm{N}$ during April 2012.

Article information

Source
Ann. Appl. Stat. Volume 7, Number 2 (2013), 1162-1191.

Dates
First available in Project Euclid: 27 June 2013

Permanent link to this document
http://projecteuclid.org/euclid.aoas/1372338483

Digital Object Identifier
doi:10.1214/13-AOAS627

Mathematical Reviews number (MathSciNet)
MR3113505

Zentralblatt MATH identifier
06279869

Keywords
Gaussian process unbiased estimating equations Hutchinson trace estimators maximum likelihood iterative methods preconditioning

Citation

Stein, Michael L.; Chen, Jie; Anitescu, Mihai. Stochastic approximation of score functions for Gaussian processes. Ann. Appl. Stat. 7 (2013), no. 2, 1162--1191. doi:10.1214/13-AOAS627. http://projecteuclid.org/euclid.aoas/1372338483.


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