Multi-Level Restricted Maximum Likelihood Covariance Estimation and Kriging for Large Non-Gridded Spatial Datasets (1504.00302v2)

Abstract: We develop a multi-level restricted Gaussian maximum likelihood method for estimating the covariance function parameters and computing the best unbiased predictor. Our approach produces a new set of multi-level contrasts where the deterministic parameters of the model are filtered out thus enabling the estimation of the covariance parameters to be decoupled from the deterministic component. Moreover, the multi-level covariance matrix of the contrasts exhibit fast decay that is dependent on the smoothness of the covariance function. Due to the fast decay of the multi-level covariance matrix coefficients only a small set is computed with a level dependent criterion. We demonstrate our approach on problems of up to 512,000 observations with a Matern covariance function and highly irregular placements of the observations. In addition, these problems are numerically unstable and hard to solve with traditional methods.