Covariance–Based Rational Approximations of Fractional SPDEs for Computationally Efficient Bayesian Inference

David Bolin, Alexandre B. Simas, Zhen Xiong*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

The stochastic partial differential equation (SPDE) approach is widely used for modeling large spatial datasets. It is based on representing a Gaussian random field u on (Formula presented.) as the solution of an elliptic SPDE (Formula presented.) where L is a second-order differential operator, (Formula presented.) is a positive parameter that controls the smoothness of u and (Formula presented.) is Gaussian white noise. A few approaches have been suggested in the literature to extend the approach to allow for any smoothness parameter satisfying (Formula presented.). Even though those approaches work well for simulating SPDEs with general smoothness, they are less suitable for Bayesian inference since they do not provide approximations which are Gaussian Markov random fields (GMRFs) as in the original SPDE approach. We address this issue by proposing a new method based on approximating the covariance operator (Formula presented.) of the Gaussian field u by a finite element method combined with a rational approximation of the fractional power. This results in a numerically stable GMRF approximation which can be combined with the integrated nested Laplace approximation (INLA) method for fast Bayesian inference. A rigorous convergence analysis of the method is performed and the accuracy of the method is investigated with simulated data. Finally, we illustrate the approach and corresponding implementation in the R package rSPDE via an application to precipitation data which is analyzed by combining the rSPDE package with the R-INLA software for full Bayesian inference. Supplementary materials for this article are available online.

Original languageEnglish (US)
JournalJOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS
DOIs
StateAccepted/In press - 2023

Bibliographical note

Publisher Copyright:
© 2023 The Author(s). Published with license by Taylor & Francis Group, LLC.

Keywords

  • Gaussian Markov random field
  • Gaussian process
  • Latent Gaussian model
  • R-INLA
  • Spatial statistics
  • SPDE

ASJC Scopus subject areas

  • Statistics and Probability
  • Discrete Mathematics and Combinatorics
  • Statistics, Probability and Uncertainty

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