Bayesian and Maximum Likelihood Estimation for Gaussian Processes on an Incomplete Lattice

Abstract: This paper proposes a new approach for Bayesian and maximum likelihood parameter estimation for stationary Gaussian processes observed on a large lattice with missing values. We propose an MCMC approach for Bayesian inference, and a Monte Carlo EM algorithm for maximum likelihood inference. Our approach uses data augmentation and circulant embedding of the covariance matrix, and provides exact inference for the parameters and the missing data. Using simulated data and an application to satellite sea surface temperatures in the Pacific Ocean, we show that our method provides accurate inference on lattices of sizes up to 512 x 512, and outperforms two popular methods: composite likelihood and spectral approximations.