Specifying a Gaussian Markov Random Field by a Sparse Cholesky Triangle

ABSTRACT

This note discusses the approach of specifying a Gaussian Markov random field (GMRF) by the Cholesky triangle of the precision matrix. A such representation can be made extremely sparse using numerical techniques for incomplete sparse Cholesky factorization, and provide very computational efficient representation for simulating from the GMRF. However, we provide theoretical and empirical justification showing that the sparse Cholesky triangle representation is fragile when conditioning a GMRF on a subset of the variables or observed data, meaning that the computational cost increases.

Keywords:

• Gaussian Markov random field
• Incomplete Cholesky factorization
• Parameterization
• Sparse matrices

Mathematics Subject Classification:

• 62M40