Fast Bayesian inference of Block Nearest Neighbor Gaussian process for large data (1908.06437v3)
Abstract: This paper presents the development of a spatial block-Nearest Neighbor Gaussian process (block-NNGP) for location-referenced large spatial data. The key idea behind this approach is to divide the spatial domain into several blocks which are dependent under some constraints. The cross-blocks capture the large-scale spatial dependence, while each block captures the small-scale spatial dependence. The resulting block-NNGP enjoys Markov properties reflected on its sparse precision matrix. It is embedded as a prior within the class of latent Gaussian models, thus Bayesian inference is obtained using the integrated nested Laplace approximation (INLA). The performance of the block-NNGP is illustrated on simulated examples and massive real data for locations in the order of $104$.