KAUST DepartmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
KAUST Grant NumberOSR-2018-CRG7-3742.
Preprint Posting Date2019-07-16
Embargo End Date2021-09-01
Permanent link to this recordhttp://hdl.handle.net/10754/660681
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AbstractEnvironmental processes resolved at a sufficiently small scale in space and time inevitably display nonstationary behavior. Such processes are both challenging to model and computationally expensive when the data size is large. Instead of modeling the global non-stationarity explicitly, local models can be applied to disjoint regions of the domain. The choice of the size of these regions is dictated by a bias-variance trade-off; large regions will have smaller variance and larger bias, whereas small regions will have higher variance and smaller bias. From both the modeling and computational point of view, small regions are preferable to better accommodate the non-stationarity. However, in practice, large regions are necessary to control the variance. We propose a novel Bayesian three-step approach that allows for smaller regions without compromising the increase of the variance that would follow. We are able to propagate the uncertainty from one step to the next without issues caused by reusing the data. The improvement in inference also results in improved prediction, as our simulated example shows. We illustrate this new approach on a dataset of simulated high-resolution wind speed data over Saudi Arabia. Supplemental files for this article are available online.
CitationLenzi, A., Castruccio, S., Rue, H., & Genton, M. G. (2020). Improving Bayesian Local Spatial Models in Large Datasets. Journal of Computational and Graphical Statistics, 1–11. doi:10.1080/10618600.2020.1814789
SponsorsThis publication is based on work supported by the King abdullah university of science and technology (KAUST), Office of sponsored research OSR under award no. OSR-2018-CRG7-3742.
PublisherInforma UK Limited