The application of geostatistical and machine learning methods based on Gaussian processes to big space-time data is beset by the requirement for storing and numerically inverting large and dense covariance matrices. Computationally efficient representations of space-time correlations can be constructed using local models of conditional dependence which can reduce the computational load. We formulate a stochastic local interaction model for regular and scattered space-time data that incorporates interactions within controlled space-time neighborhoods. The strength of the interaction and the size of the neighborhood are defined by means of kernel functions and adaptive local bandwidths. Compactly supported kernels lead to finite-size local neighborhoods and consequently to sparse precision matrices that admit explicit expression. Hence, the stochastic local interaction model's requirements for storage are modest and the costly covariance matrix inversion is not needed. We also derive a semi-explicit prediction equation and express the conditional variance of the prediction in terms of the diagonal of the precision matrix. For data on regular space-time lattices, the stochastic local interaction model is equivalent to a Gaussian Markov Random Field.
Modeling and forecasting spatiotemporal patterns of precipitation is crucial for managing water resources and mitigating water-related hazards. Globally valid spatiotemporal models of precipitation are not available. This is due to the intermittent nature, non-Gaussian distribution, and complex geographical dependence of precipitation processes. Herein we propose a data-driven model of precipitation amount which employs a novel, data-driven (non-parametric) implementation of warped Gaussian processes. We investigate the proposed warped Gaussian process regression (wGPR) using (i) a synthetic test function contaminated with non-Gaussian noise and (ii) a reanalysis dataset of monthly precipitation from the Mediterranean island of Crete. Cross-validation analysis is used to establish the advantages of non-parametric warping for the interpolation of incomplete data. We conclude that wGPR equipped with the proposed data-driven warping provides enhanced flexibility and—at least for the cases studied– improved predictive accuracy for non-Gaussian data.
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