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Abstract:
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Gaussian processes (GPs) are commonly used as models for functions, time series, and spatial fields, but they are computationally infeasible for large datasets. We propose a generalization of the Vecchia (1988) approach as a framework for GP approximations. We show that our general Vecchia approach contains many popular existing GP approximations as special cases, allowing for comparisons among the different methods within a unified framework. Representing the models by directed acyclic graphs, we determine the sparsity of the matrices necessary for inference, which leads to new insights regarding the computational properties. Based on these results, we propose novel Vecchia approaches for noisy, non-Gaussian, multi-resolution, and spatio-temporal data. We provide theoretical results, conduct numerical comparisons, and apply the methods to satellite data.
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