Bayesian nonstationary Gaussian process models via treed process convolutions

Waley W. J. Liang () and Herbert K. H. Lee ()
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Waley W. J. Liang: University of California
Herbert K. H. Lee: University of California

Advances in Data Analysis and Classification, 2019, vol. 13, issue 3, No 11, 797-818

Abstract: Abstract The Gaussian process is a common model in a wide variety of applications, such as environmental modeling, computer experiments, and geology. Two major challenges often arise: First, assuming that the process of interest is stationary over the entire domain often proves to be untenable. Second, the traditional Gaussian process model formulation is computationally inefficient for large datasets. In this paper, we propose a new Gaussian process model to tackle these problems based on the convolution of a smoothing kernel with a partitioned latent process. Nonstationarity can be modeled by allowing a separate latent process for each partition, which approximates a regional clustering structure. Partitioning follows a binary tree generating process similar to that of Classification and Regression Trees. A Bayesian approach is used to estimate the partitioning structure and model parameters simultaneously. Our motivating dataset consists of 11918 precipitation anomalies. Results show that our model has promising prediction performance and is computationally efficient for large datasets.

Keywords: Spatial statistics; Stochastic modeling; Classification and Regression Trees; Reduced-rank approximation; Heteroscedasticity; 60G15; 60G60; 62M30; 62M20; 62F15 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s11634-018-0341-2

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