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Article De Blog Scientifique Année : 2015

Estimating a Centered Matérn (1) Process: Three Alternatives to Maximum Likelihood via Conjugate Gradient Linear Solvers

Didier A. Girard

Résumé

http://demonstrations.wolfram.com/EstimatingACenteredMatern1ProcessThreeAlternativesToMaximumL/. Estimating a Centered Matérn (1) Process: Three Alternatives to Maximum Likelihood via Conjugate Gradient Linear Solvers. The setting is the same as in the Demonstration "Three Alternatives to the Likelihood Maximization for Estimating a Centered Matérn (3/2) Process", except that the "differentiability" parameter (often denoted by \[Nu]) is fixed here to 1 (classically used in two dimensions following the seminal work of Whittle) instead of 3/2. An important difference in the implementation of the fixed-point algorithm (for approximating the root of the GE-EV estimating equation) is that an iterative linear solver is used now (precisely a conjugate-gradient (CG) solver preconditioned by a classical factored sparse approximate inverse). It is observed here that this implementation is quite fast, even for a data size as large as 8196.
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hal-01957409 , version 1 (17-12-2018)

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Didier A. Girard. Estimating a Centered Matérn (1) Process: Three Alternatives to Maximum Likelihood via Conjugate Gradient Linear Solvers. 2015. ⟨hal-01957409⟩
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