2024/10/16 by David Bolin, Bolin, David, Vaibhav Mehandiratta +3
Economics, Econometrics and Finance · Mathematics · #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (stat.ML) #Numerical Analysis (math.NA) #Statistical Methods and Inference #Statistical and numerical algorithms #Statistics Theory (math.ST) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2410.13000
openalex publication_date 2024/10/16 · openalex created_date 2024/10/20 · openalex updated_date 2026/07/28
The computational cost for inference and prediction of statistical models based on Gaussian processes with Matérn covariance functions scales cubicly with the number of observations, limiting their applicability to large data sets. The cost can be reduced in certain special cases, but there are currently no generally applicable exact methods with linear cost. Several approximate methods have been introduced to reduce the cost, but most of these lack theoretical guarantees for the accuracy. We consider Gaussian processes on bounded intervals with Matérn covariance functions and for the first time develop a generally applicable method with linear cost and with a covariance error that decreases exponentially fast in the order m of the proposed approximation. The method is based on an optimal rational approximation of the spectral density and results in an approximation that can be represented as a sum of m independent Gaussian Markov processes, which facilitates easy usage in general software for statistical inference, enabling its efficient implementation in general statistical inference software packages. Besides the theoretical justifications, we demonstrate the accuracy empirically through carefully designed simulation studies which show that the method outperforms all state-of-the-art alternatives in terms of accuracy for a fixed computational cost in statistical tasks such as Gaussian process regression.