Vecchia factoring of GP likelihoods
Ignore some conditioning in the dependencies and attain a sparse cholesky factor for the precision matrix
April 27, 2022 — April 27, 2022
There are many ways to cleverly slice up GP likelihoods so that inference is cheap. One is the Vecchia approximation: approximate the precision matrix by one with a sparse Cholesky factorisation.
1 References
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