کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5129727 1489850 2017 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Numerical instability of calculating inverse of spatial covariance matrices
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Numerical instability of calculating inverse of spatial covariance matrices
چکیده انگلیسی

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 Matérn covariance model. Also, some possible approaches to relax such computational instability are discussed.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 129, October 2017, Pages 182-188
نویسندگان
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