Stochastic approximation of score functions for Gaussian processes
نویسندگان
چکیده
منابع مشابه
Stochastic Approximation of Score Functions for Gaussian Processes
We discuss the statistical properties of a recently introduced unbiased stochastic approximation to the score equations for maximum likelihood calculation for Gaussian processes. Under certain conditions, including bounded condition number of the covariance matrix, the approach achieves O(n) storage and nearly O(n) computational effort per optimization step, where n is the number of data sites....
متن کاملStochastic Approximation of Score Functions for Gaussian Processes1 by Michael
We discuss the statistical properties of a recently introduced unbiased stochastic approximation to the score equations for maximum likelihood calculation for Gaussian processes. Under certain conditions, including bounded condition number of the covariance matrix, the approach achieves O(n) storage and nearly O(n) computational effort per optimization step, where n is the number of data sites....
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ژورنال
عنوان ژورنال: The Annals of Applied Statistics
سال: 2013
ISSN: 1932-6157
DOI: 10.1214/13-aoas627