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Gaussian Process simulation and circulant embeddings

I might shoehorn Whittle likelihoods in here too

An converse problem to covariance estimation. Related: phase retrieval. Gaussian process regression.


Discuss in the context of

Simulating Gaussian RVs with the desired covariance structure

[Following the introduction in (DiNe93)]

Let’s say we wish to generate a stationary Gaussian process \(Y(x)\) on a points \(\Omega\). \(\Omega=(x_0, x_1,\dots, x_m)\).

Stationary in this context means that the covariance function \(r\) is translation-invariance and depend only on distance, so that it may be given \(r(|x|)\). Without loss of generality, we assume that \(\bb E[Y(x)]=0\) and \(\var[Y(x)]=1\).

The problem then reduces to generating a vector \(\vv y=(Y(x_0), Y(x_1), \dots, Y(x_m) )\sim \mathcal{N}(0, R)\) where \(R\) has entries \(R[p,q]=r(|x_p-x_q|).\)

Note that if \(\bb \varepsilon\sim\mathcal{N}(0, I)\) is an \(m+1\)-dimensional normal random variable, and \(AA^T=R\), then \(\vv y=\mm A\bb \varepsilon\) has the required distribution.

The circulant embedding trick

But what if that’s too slow? If we have additional structure, we can do better.

Suppose further that our points form a grid, \(\Omega=(x_0, x_0+h,\dots, x_0+mh)\); specifically, equally-spaced-points on a line.

We know that \(R\) has a Toeplitz structure. Moreover it is non-negative definite, with \(\vv x^t\mm R \vv x \geq 0\forall \vv x.\) (Why?)