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Approximating likelihoods for large spatial data sets

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  • Michael L. Stein
  • Zhiyi Chi
  • Leah J. Welty
Abstract
Summary. Likelihood methods are often difficult to use with large, irregularly sited spatial data sets, owing to the computational burden. Even for Gaussian models, exact calculations of the likelihood for n observations require O(n3) operations. Since any joint density can be written as a product of conditional densities based on some ordering of the observations, one way to lessen the computations is to condition on only some of the ‘past’ observations when computing the conditional densities. We show how this approach can be adapted to approximate the restricted likelihood and we demonstrate how an estimating equations approach allows us to judge the efficacy of the resulting approximation. Previous work has suggested conditioning on those past observations that are closest to the observation whose conditional density we are approximating. Through theoretical, numerical and practical examples, we show that there can often be considerable benefit in conditioning on some distant observations as well.

Suggested Citation

  • Michael L. Stein & Zhiyi Chi & Leah J. Welty, 2004. "Approximating likelihoods for large spatial data sets," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(2), pages 275-296, May.
    • Handle: RePEc:bla:jorssb:v:66:y:2004:i:2:p:275-296
    DOI: 10.1046/j.1369-7412.2003.05512.x
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