Gaussian processes on lattices

Gaussian Processes with a stationary kernel are simpler if you are working on a grid of points. The main tricks here seem to be circulant embeddings and circulant approximations, which enable one to leverage the Fourier Transform. This complements, perhaps, the trick of filtering Gaussian processes.

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———. 2017b. “Circulant Embedding with QMC – Analysis for Elliptic PDE with Lognormal Coefficients,” October.

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———. 2017. “Bayesian and Maximum Likelihood Estimation for Gaussian Processes on an Incomplete Lattice.” Journal of Computational and Graphical Statistics 26 (1): 108–20.

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