Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix.
C. R. DietrichGarry N. NewsamPublished in: SIAM J. Sci. Comput. (1997)
Keyphrases
- covariance matrix
- gaussian processes
- gaussian process
- covariance matrices
- sample size
- principal component analysis
- gaussian process regression
- objective function
- hyperparameters
- correlation matrix
- positive definite
- non stationary
- eigendecomposition
- multi task
- bayesian framework
- genetic algorithm
- least squares
- evolutionary algorithm
- feature extraction
- gaussian mixture
- lower bound