Graphical Gaussian process models for highly multivariate spatial data[Cross-covariance functions for multivariate random fields based on latent dimensions]

SummaryFor multivariate spatial Gaussian process models, customary specifications of cross-covariance functions do not exploit relational inter-variable graphs to ensure process-level conditional independence between the variables. This is undesirable, especially in highly multivariate settings, where popular cross-covariance functions, such as multivariate Matérn functions, suffer from a curse of dimensionality as the numbers of parameters and floating-point operations scale up in quadratic and cubic order, respectively, with the number of variables. We propose a class of multivariate graphical Gaussian processes using a general construction called stitching that crafts cross-covariance functions from graphs and ensures process-level conditional independence between variables. For the Matérn family of functions, stitching yields a multivariate Gaussian process whose univariate components are Matérn Gaussian processes, and which conforms to process-level conditional independence as specified by the graphical model. For highly multivariate settings and decomposable graphical models, stitching offers massive computational gains and parameter dimension reduction. We demonstrate the utility of the graphical Matérn Gaussian process to jointly model highly multivariate spatial data using simulation examples and an application to air-pollution modelling.