An explicit link between Gaussian fields and Gaussian Markov random fields : The SPDE approach

@inproceedings{Lindstrm2010AnEL,
title={An explicit link between Gaussian fields and Gaussian Markov random fields : The SPDE approach},
author={Johan Lindstr{\"o}m},
year={2010}
}

Continuously indexed Gaussian fields (GFs) is the most important ingredient in spatial statistical modelling and geo-statistics. The specification through the covariance function gives an intuitive interpretation of its properties. On the computational side, GFs are hampered with the big-n problem, since the cost of factorising dense matrices is cubic in the dimension. Although the computational power today is alltime-high, this fact seems still to be a computational bottleneck in applications… CONTINUE READING