Numerical instability of calculating inverse of spatial covariance matrices

作者：Lim Chae Young; Chen Chien Hung; Wu Wei Ying^*

来源：Statistics & Probability Letters, 2017, 129: 182-188.

DOI：10.1016/j.spl.2017.05.019

• MLE
• Matern covariance models
• Ill-conditioned

Computing an inverse of a covariance matrix is a common computational component in Statistics. For example, Gaussian likelihood function includes the inverse of a covariance matrix. For the computation of the inverse of a spatial covariance matrix, numerically unstable results can arise when the observation locations are getting denser. In this paper, we investigate when computational instability in calculating the inverse of a spatial covariance matrix makes maximum likelihood estimator unreasonable for a Matern covariance model. Also, some possible approaches to relax such computational instability are discussed.

• 出版日期2017-10
• 单位东华大学